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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	0.0358	15.94***
α ARCH Response to squared shocks	0.1825	26.66***
β GARCH Volatility persistence	0.9815	1,002.52***
γ leverage Additional response to negative shocks	-0.0507	-9.21***

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NY Mercantile WTI Crude Oil EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NY Mercantile WTI Crude Oil Analyses