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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5158	4.82***
α ARCH Response to squared shocks	0.0289	94.43***
β GARCH Volatility persistence	0.9972	1,725.21***
ν DF Student-t tail thickness	2.6972	93.31***

V-Lab

US Dollar to Japanese Yen GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Japanese Yen Analyses