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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	61
α ARCH Response to squared shocks	0.7379
β GARCH Volatility persistence	0.0121
γ leverage Additional response to negative shocks	0.5000
λ₁ tau intercept Baseline long-term coefficient	0.1583
λ₂ forecast adj. Forecast performance sensitivity	0.0149
λ₃ tau persistence Long-term factor persistence	0.0000

V-Lab

US Dollar to Costa Rican Colon MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Costa Rican Colon Analyses