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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0677	1.13
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.0002	0.03
λ₁ tau intercept Baseline long-term coefficient	0.0044	0.14
λ₂ forecast adj. Forecast performance sensitivity	0.1434	0.22
λ₃ tau persistence Long-term factor persistence	0.8382	1.13

V-Lab

US Dollar to Euro MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Euro Analyses