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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	56
α ARCH Response to squared shocks	0.1078	7.63***
β GARCH Volatility persistence	0.8862	43.82***
γ leverage Additional response to negative shocks	-0.0930	-6.26***
λ₁ tau intercept Baseline long-term coefficient	0.0222	1.73*
λ₂ forecast adj. Forecast performance sensitivity	0.0166	2.51**
λ₃ tau persistence Long-term factor persistence	0.9790	113.03***

V-Lab

S&P GSCI Coffee Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Coffee Index Analyses