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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	0.6952	8.66***
α ARCH Response to squared shocks	0.0352	114.22***
β GARCH Volatility persistence	0.9973	3,237.95***
ν DF Student-t tail thickness	2.2510	668.14***

V-Lab

US Dollar to Chilean Peso GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Chilean Peso Analyses