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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	6.7064	7.95***
α ARCH Response to squared shocks	0.0766	41.60***
β GARCH Volatility persistence	0.9887	650.87***
ν DF Student-t tail thickness	8.2784	5.29***

V-Lab

NY Mercantile WTI Crude Oil GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NY Mercantile WTI Crude Oil Analyses