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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	101
α ARCH Response to squared shocks	0.0773	39.34***
β GARCH Volatility persistence	0.9158	424.76***
γ leverage Additional response to negative shocks	-0.0219	-8.84***
λ₁ tau intercept Baseline long-term coefficient	0.0016	12.06***
λ₂ forecast adj. Forecast performance sensitivity	0.0031	8.98***
λ₃ tau persistence Long-term factor persistence	0.9960	2,388.59***

V-Lab

S&P GSCI Soybeans Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Soybeans Index Analyses