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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	0.0020	16.01***
α ARCH Response to squared shocks	0.0486	16.71***
β GARCH Volatility persistence	0.9216	387.73***
γ leverage Additional response to negative shocks	0.0430	7.86***

V-Lab

Bloomberg EM Local Currency Government Bond Index Total Return Unhedged USD GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bloomberg EM Local Currency Government Bond Index Total Return Unhedged USD Analyses