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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	116
α ARCH Response to squared shocks	0.0488	5.33***
β GARCH Volatility persistence	0.9012	68.08***
γ leverage Additional response to negative shocks	0.0113	1.07
λ₁ tau intercept Baseline long-term coefficient	0.0107	1.24
λ₂ forecast adj. Forecast performance sensitivity	0.0781	1.73*
λ₃ tau persistence Long-term factor persistence	0.9142	18.24***

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S&P GSCI Industrial Metals Spot Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Industrial Metals Spot Index Analyses