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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	16.19***
α ARCH Response to squared shocks	0.0529	21.15***
β GARCH Volatility persistence	0.9426	678.10***
γ leverage Additional response to negative shocks	0.0022	0.56

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Light Energy Spot Index Analyses