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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	0.0020	19.40***
α ARCH Response to squared shocks	0.0267	18.51***
β GARCH Volatility persistence	0.9558	842.87***
γ leverage Additional response to negative shocks	0.0204	7.53***

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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