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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	0.8049	4.86***
α ARCH Response to squared shocks	0.0753	6.48***
β GARCH Volatility persistence	0.8733	49.78***

γ₁	-0.2205	-3.18***
γ₂	0.3967	3.99***
γ₃	-0.3151	-5.14***
γ₄	0.2225	3.85***
γ₅	-0.1421	-2.47**
γ₆	0.1342	2.30**
γ₇	-0.1289	-2.25**
γ₈	0.0641	1.50

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DHL Group Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other DHL Group Analyses