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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	31
α ARCH Response to squared shocks	0.1762	23.65***
β GARCH Volatility persistence	0.4402	25.26***
γ leverage Additional response to negative shocks	-0.0023	-0.07
λ₁ tau intercept Baseline long-term coefficient	0.0177	0.12
λ₂ forecast adj. Forecast performance sensitivity	0.9961	1.72*
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Peruvian New Sol MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Peruvian New Sol Analyses