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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	41
α ARCH Response to squared shocks	0.0098	5.76***
β GARCH Volatility persistence	0.9048	213.96***
γ leverage Additional response to negative shocks	0.0733	24.23***
λ₁ tau intercept Baseline long-term coefficient	0.0050	3.88***
λ₂ forecast adj. Forecast performance sensitivity	0.0274	3.76***
λ₃ tau persistence Long-term factor persistence	0.9668	112.52***

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S&P GSCI Live Cattle Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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Other S&P GSCI Live Cattle Index Analyses