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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	3.7219	5.07***
α ARCH Response to squared shocks	0.0599	25.50***
β GARCH Volatility persistence	0.9851	320.79***
ν DF Student-t tail thickness	4.6244	8.22***

V-Lab

Fresenius SE & Co KGaA GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Fresenius SE & Co KGaA Analyses