How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0290	1.24
α ARCH Response to squared shocks	0.0211	5.35***
β GARCH Volatility persistence	0.9600	314.45***
γ leverage Additional response to negative shocks	0.0371	5.54***

V-Lab

Merck & Co Inc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Merck & Co Inc Analyses