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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	21
α ARCH Response to squared shocks	0.0087
β GARCH Volatility persistence	0.9916
γ leverage Additional response to negative shocks	-0.0007
λ₁ tau intercept Baseline long-term coefficient	0.0271
λ₂ forecast adj. Forecast performance sensitivity	0.1979
λ₃ tau persistence Long-term factor persistence	0.0000

V-Lab

Chinese Renminbi MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Chinese Renminbi Analyses