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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	0.0824	10.15***
β GARCH Volatility persistence	0.6586	25.12***
γ leverage Additional response to negative shocks	-0.0103	-1.38
λ₁ tau intercept Baseline long-term coefficient	0.0063	0.83
λ₂ forecast adj. Forecast performance sensitivity	0.0248	1.80*
λ₃ tau persistence Long-term factor persistence	0.9730	65.75***

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S&P GSCI Zinc Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Zinc Index Analyses