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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	0.0315	7.91***
β GARCH Volatility persistence	0.7475	19.45***
γ leverage Additional response to negative shocks	0.0263	5.71***
λ₁ tau intercept Baseline long-term coefficient	0.0277	0.59
λ₂ forecast adj. Forecast performance sensitivity	0.0450	0.90
λ₃ tau persistence Long-term factor persistence	0.9474	16.55***

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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