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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	1.4898	3.71***
α ARCH Response to squared shocks	0.0874	9.00***
β GARCH Volatility persistence	0.8795	72.14***

γ₁	0.0211	0.51
γ₂	0.0286	0.52
γ₃	-0.1217	-4.22***
γ₄	0.1405	4.63***
γ₅	-0.1274	-3.83***
γ₆	0.0884	2.81***
γ₇	-0.0223	-0.75
γ₈	-0.0173	-0.74

V-Lab

HeidelbergCement AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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