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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	76
α ARCH Response to squared shocks	0.0648	18.04***
β GARCH Volatility persistence	0.8949	203.85***
γ leverage Additional response to negative shocks	-0.0412	-17.20***
λ₁ tau intercept Baseline long-term coefficient	0.3572	0.16
λ₂ forecast adj. Forecast performance sensitivity	0.7907	0.16
λ₃ tau persistence Long-term factor persistence	0.0876	0.02

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S&P GSCI Wheat Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Wheat Index Analyses