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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	1.1433	8.42***
α ARCH Response to squared shocks	0.1784	4.58***
β GARCH Volatility persistence	0.5641	6.22***

V-Lab

Ardagh Metal Packaging S A Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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