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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0447	10.78***
β GARCH Volatility persistence	0.8608	118.74***
γ leverage Additional response to negative shocks	0.0256	5.70***
λ₁ tau intercept Baseline long-term coefficient	0.0042	2.06**
λ₂ forecast adj. Forecast performance sensitivity	0.9918	10.31***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Bloomberg US Government Inflation-Linked Bond Index Total Return Unhedged USD MF2-GARCH Volatility Analysis

Date Range:

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