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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	0.0336	22.35***
α ARCH Response to squared shocks	0.0621	23.67***
β GARCH Volatility persistence	0.9093	492.02***
γ leverage Additional response to negative shocks	0.0274	6.67***

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Henkel AG & Co KGaA Asy. MEM Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Henkel AG & Co KGaA Analyses