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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
ω const Unconditional variance weight	5.4893	5.08***
α ARCH Response to squared shocks	0.0560	51.06***
β GARCH Volatility persistence	0.9948	973.36***
ν DF Student-t tail thickness	6.5848	8.17***

V-Lab

S&P GSCI Petroleum Spot Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Petroleum Spot Index Analyses