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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.7762	14.35***
α ARCH Response to squared shocks	0.0460	33.27***
β GARCH Volatility persistence	0.9906	1,582.47***
ν DF Student-t tail thickness	11.8291	3.18***

V-Lab

S&P GSCI Wheat Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Wheat Index Analyses