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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	11.1421	11.36***
α ARCH Response to squared shocks	0.0639	39.96***
β GARCH Volatility persistence	0.9895	1,080.26***
ν DF Student-t tail thickness	9.1967	5.30***

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S&P GSCI Natural Gas Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Natural Gas Index Analyses