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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7674	1.65*
α ARCH Response to squared shocks	0.0462	10.09***
β GARCH Volatility persistence	0.9957	393.73***
ν DF Student-t tail thickness	8.6320	1.41

V-Lab

S&P GSCI Light Energy Spot Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Light Energy Spot Index Analyses