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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	86
α ARCH Response to squared shocks	0.0205	3.47***
β GARCH Volatility persistence	0.9077	86.02***
γ leverage Additional response to negative shocks	0.0540	6.60***
λ₁ tau intercept Baseline long-term coefficient	0.0034	1.53
λ₂ forecast adj. Forecast performance sensitivity	0.0187	2.28**
λ₃ tau persistence Long-term factor persistence	0.9771	93.94***

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S&P GSCI Livestock Spot Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Livestock Spot Index Analyses