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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	0.0867	14.11***
α ARCH Response to squared shocks	0.0989	33.74***
β GARCH Volatility persistence	0.8788	318.30***
γ leverage Additional response to negative shocks	0.7897	20.26***

V-Lab

NY Mercantile WTI Crude Oil AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NY Mercantile WTI Crude Oil Analyses