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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	0.0623	4.89***
β GARCH Volatility persistence	0.8715	32.81***
γ leverage Additional response to negative shocks	-0.0155	-1.23
λ₁ tau intercept Baseline long-term coefficient	0.0048	1.75*
λ₂ forecast adj. Forecast performance sensitivity	0.0180	2.99***
λ₃ tau persistence Long-term factor persistence	0.9790	139.07***

V-Lab

S&P GSCI Softs Spot Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Softs Spot Index Analyses