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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	0.0638	26.01***
β GARCH Volatility persistence	0.9371	312.25***
γ leverage Additional response to negative shocks	-0.0340	-11.81***
λ₁ tau intercept Baseline long-term coefficient	0.0093	8.84***
λ₂ forecast adj. Forecast performance sensitivity	0.0223	7.02***
λ₃ tau persistence Long-term factor persistence	0.9754	275.93***

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