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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	126
α ARCH Response to squared shocks	1.0000
β GARCH Volatility persistence	0.0024
γ leverage Additional response to negative shocks	-0.0048
λ₁ tau intercept Baseline long-term coefficient	10.0000
λ₂ forecast adj. Forecast performance sensitivity	0.0000
λ₃ tau persistence Long-term factor persistence	0.9903

V-Lab

Israeli Shekel MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Israeli Shekel Analyses