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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	121
α ARCH Response to squared shocks	0.0637	6.98***
β GARCH Volatility persistence	0.9371	102.44***
γ leverage Additional response to negative shocks	-0.0339	-3.10***
λ₁ tau intercept Baseline long-term coefficient	0.0093	1.01
λ₂ forecast adj. Forecast performance sensitivity	0.0222	1.74*
λ₃ tau persistence Long-term factor persistence	0.9754	66.92***

V-Lab

S&P GSCI Silver Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Silver Index Analyses