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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	1.0039	4.47***
α ARCH Response to squared shocks	0.0621	8.96***
β GARCH Volatility persistence	0.9153	100.96***

γ₁	0.0669	1.94*
γ₂	-0.0430	-0.79
γ₃	-0.1024	-2.69***
γ₄	0.1638	4.97***
γ₅	-0.1504	-4.89***
γ₆	0.1193	3.66***
γ₇	-0.1033	-3.07***
γ₈	0.0802	1.58

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Deutsche Bank AG Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Bank AG Analyses