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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	0.0322	9.40***
α ARCH Response to squared shocks	0.1920	51.07***
β GARCH Volatility persistence	0.7911	300.69***

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Deutsche Boerse AG German Stock Index DAX MEM Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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