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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	0.0597	13.63***
β GARCH Volatility persistence	0.8696	184.71***
γ leverage Additional response to negative shocks	0.0705	11.35***
λ₁ tau intercept Baseline long-term coefficient	0.0304	8.99***
λ₂ forecast adj. Forecast performance sensitivity	0.0235	6.01***
λ₃ tau persistence Long-term factor persistence	0.9714	214.11***

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