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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0022	19.00***
α ARCH Response to squared shocks	0.0265	17.81***
β GARCH Volatility persistence	0.9551	821.27***
γ leverage Additional response to negative shocks	0.0212	7.54***

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US Dollar to Japanese Yen GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Japanese Yen Analyses