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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	51
α ARCH Response to squared shocks	0.1191	17.49***
β GARCH Volatility persistence	0.6385	27.33***
γ leverage Additional response to negative shocks	-0.0035	-0.44
λ₁ tau intercept Baseline long-term coefficient	0.0798	1.32
λ₂ forecast adj. Forecast performance sensitivity	0.0957	1.47
λ₃ tau persistence Long-term factor persistence	0.8864	11.29***

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

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Nickel Spot Index Analyses