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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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Param	Value	t-stat
ωconst	1.2620	7.03***
αARCH	0.0499	6.43***
βGARCH	0.9046	62.94***

γ₁	0.0567	1.03
γ₂	0.0085	0.10
γ₃	-0.1798	-3.20***
γ₄	0.1744	4.05***
γ₅	-0.0431	-1.05
γ₆	-0.0688	-1.67*
γ₇	0.0884	2.15**
γ₈	-0.0439	-1.13
γ₉	-0.0015	-0.03
γ₁₀	0.0188	0.45

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2620	7.03***
α ARCH Response to squared shocks	0.0499	6.43***
β GARCH Volatility persistence	0.9046	62.94***

γ₁	0.0567	1.03
γ₂	0.0085	0.10
γ₃	-0.1798	-3.20***
γ₄	0.1744	4.05***
γ₅	-0.0431	-1.05
γ₆	-0.0688	-1.67*
γ₇	0.0884	2.15**
γ₈	-0.0439	-1.13
γ₉	-0.0015	-0.03
γ₁₀	0.0188	0.45

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