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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.1863	27.78***
β GARCH Volatility persistence	0.7427	100.36***
γ leverage Additional response to negative shocks	-0.0828	-9.12***
λ₁ tau intercept Baseline long-term coefficient	0.0009	5.77***
λ₂ forecast adj. Forecast performance sensitivity	0.0721	8.19***
λ₃ tau persistence Long-term factor persistence	0.9279	98.75***

V-Lab

US Dollar to Russian Ruble MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Russian Ruble Analyses