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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.1290	12.57***
β GARCH Volatility persistence	0.8063	152.10***
γ leverage Additional response to negative shocks	0.1294	4.33***
λ₁ tau intercept Baseline long-term coefficient	0.0600	1.01
λ₂ forecast adj. Forecast performance sensitivity	0.0049	3.44***
λ₃ tau persistence Long-term factor persistence	0.9944	327.22***

V-Lab

Kuwaiti Dinar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kuwaiti Dinar Analyses