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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	0.0012	14.11***
α ARCH Response to squared shocks	0.0635	37.29***
β GARCH Volatility persistence	0.9365	707.88***
γ leverage Additional response to negative shocks	-0.1012	-9.20***
δ power Transformation power	1.9730	46.90***

V-Lab

Colombian Peso APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Colombian Peso Analyses