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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2864	7.19***
α ARCH Response to squared shocks	0.0509	6.48***
β GARCH Volatility persistence	0.9024	61.76***

γ₁	0.0626	1.11
γ₂	0.0004	0.00
γ₃	-0.1752	-3.05***
γ₄	0.1681	3.86***
γ₅	-0.0349	-0.85
γ₆	-0.0760	-1.86*
γ₇	0.0907	2.26**
γ₈	-0.0404	-1.06
γ₉	-0.0084	-0.19
γ₁₀	0.0246	0.58

V-Lab

Henkel AG & Co KGaA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Henkel AG & Co KGaA Analyses