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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	91
α ARCH Response to squared shocks	0.1645	29.93***
β GARCH Volatility persistence	0.8225	147.67***
γ leverage Additional response to negative shocks	-0.0965	-18.51***
λ₁ tau intercept Baseline long-term coefficient	0.0002	7.29***
λ₂ forecast adj. Forecast performance sensitivity	0.9795	56.85***
λ₃ tau persistence Long-term factor persistence	0.0205	6.40***

V-Lab

US Dollar to Indian Rupee MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Indian Rupee Analyses