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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	2.3199	4.27***
α ARCH Response to squared shocks	0.0437	31.34***
β GARCH Volatility persistence	0.9930	580.34***
ν DF Student-t tail thickness	5.4879	6.92***

V-Lab

Henkel AG & Co KGaA GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Henkel AG & Co KGaA Analyses