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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	1.0952	6.44***
α ARCH Response to squared shocks	0.1213	7.21***
β GARCH Volatility persistence	0.7662	27.08***

γ₁	0.0658	5.54***
γ₂	-0.1232	-7.55***
γ₃	0.0845	7.81***
γ₄	-0.0341	-2.88***
γ₅	0.0138	1.05
γ₆	-0.0097	-0.95

V-Lab

Beiersdorf AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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