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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	0.9566	6.24***
α ARCH Response to squared shocks	0.0799	8.35***
β GARCH Volatility persistence	0.8630	50.98***

γ₁	0.0573	2.07**
γ₂	-0.0470	-1.04
γ₃	-0.0696	-1.75*
γ₄	0.1131	3.28***
γ₅	-0.0907	-3.70***
γ₆	0.0721	2.63***
γ₇	-0.0560	-1.41
γ₈	0.0660	1.00

V-Lab

Bayer AG Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bayer AG Analyses