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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0859	10.04***
β GARCH Volatility persistence	0.7279	17.09***
γ leverage Additional response to negative shocks	-0.0792	-7.60***
λ₁ tau intercept Baseline long-term coefficient	0.5773	0.44
λ₂ forecast adj. Forecast performance sensitivity	0.3023	0.47
λ₃ tau persistence Long-term factor persistence	0.6490	0.88

V-Lab

S&P GSCI Natural Gas Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Natural Gas Index Analyses