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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0375	3.29***
β GARCH Volatility persistence	0.8087	23.00***
γ leverage Additional response to negative shocks	0.0580	3.29***
λ₁ tau intercept Baseline long-term coefficient	0.0113	2.43**
λ₂ forecast adj. Forecast performance sensitivity	0.0301	4.18***
λ₃ tau persistence Long-term factor persistence	0.9642	109.63***

V-Lab

S&P GSCI Copper Spot Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Copper Spot Index Analyses