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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	0.0687	15.26***
β GARCH Volatility persistence	0.6851	37.23***
γ leverage Additional response to negative shocks	0.0265	4.96***
λ₁ tau intercept Baseline long-term coefficient	0.0049	0.89
λ₂ forecast adj. Forecast performance sensitivity	0.0261	2.39**
λ₃ tau persistence Long-term factor persistence	0.9722	81.23***

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

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Lead Spot Index Analyses