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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	0.0038	4.05***
α ARCH Response to squared shocks	0.0528	5.28***
β GARCH Volatility persistence	0.9425	169.40***
γ leverage Additional response to negative shocks	0.0024	0.15

V-Lab

S&P GSCI Light Energy Spot Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Light Energy Spot Index Analyses