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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.8250
β GARCH Volatility persistence	0.0000
γ leverage Additional response to negative shocks	0.3500
λ₁ tau intercept Baseline long-term coefficient	7.0061	29.63***
λ₂ forecast adj. Forecast performance sensitivity	0.3000	19.56***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

US Dollar to Swiss Franc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Swiss Franc Analyses