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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	36
α ARCH Response to squared shocks	0.0156
β GARCH Volatility persistence	0.9876
γ leverage Additional response to negative shocks	-0.0065
λ₁ tau intercept Baseline long-term coefficient	0.0099
λ₂ forecast adj. Forecast performance sensitivity	0.2338
λ₃ tau persistence Long-term factor persistence	0.0001

V-Lab

US Dollar to Chinese Renminbi MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Chinese Renminbi Analyses