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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	0.1170	20.31***
α ARCH Response to squared shocks	0.0919	26.73***
β GARCH Volatility persistence	0.9173	554.92***
γ leverage Additional response to negative shocks	-0.0372	-7.56***

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S&P GSCI Natural Gas Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Natural Gas Index Analyses