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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0602	3.37***
β GARCH Volatility persistence	0.8689	51.09***
γ leverage Additional response to negative shocks	0.0703	3.38***
λ₁ tau intercept Baseline long-term coefficient	0.0302	0.86
λ₂ forecast adj. Forecast performance sensitivity	0.0228	1.18
λ₃ tau persistence Long-term factor persistence	0.9721	39.40***

V-Lab

NY Mercantile WTI Crude Oil MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NY Mercantile WTI Crude Oil Analyses