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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1659	30.96***
β GARCH Volatility persistence	0.7644	78.80***
γ leverage Additional response to negative shocks	-0.0858	-13.92***
λ₁ tau intercept Baseline long-term coefficient	0.0003	5.14***
λ₂ forecast adj. Forecast performance sensitivity	0.0268	7.60***
λ₃ tau persistence Long-term factor persistence	0.9732	279.58***

V-Lab

Colombian Peso MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Colombian Peso Analyses