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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	26
α ARCH Response to squared shocks	0.0329	2.79***
β GARCH Volatility persistence	0.7479	11.21***
γ leverage Additional response to negative shocks	0.0247	1.62
λ₁ tau intercept Baseline long-term coefficient	0.0278	3.09***
λ₂ forecast adj. Forecast performance sensitivity	0.0445	4.90***
λ₃ tau persistence Long-term factor persistence	0.9479	90.14***

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S&P GSCI Sugar Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Sugar Index Analyses