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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	0.0011	12.93***
α ARCH Response to squared shocks	0.0740	38.56***
β GARCH Volatility persistence	0.9260	418.05***
γ leverage Additional response to negative shocks	-0.1347	-8.53***
δ power Transformation power	1.9534	38.68***

V-Lab

US Dollar to Russian Ruble APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Russian Ruble Analyses