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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	0.6895	8.67***
α ARCH Response to squared shocks	0.0351	114.31***
β GARCH Volatility persistence	0.9973	3,248.51***
ν DF Student-t tail thickness	2.2529	662.42***

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