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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	1.0410	4.52***
α ARCH Response to squared shocks	0.0711	7.98***
β GARCH Volatility persistence	0.8955	65.88***

γ₁	-0.1640	-2.94***
γ₂	0.3220	4.03***
γ₃	-0.2818	-6.38***
γ₄	0.1867	4.30***
γ₅	-0.0584	-1.27
γ₆	-0.0157	-0.36
γ₇	0.0086	0.28

V-Lab

Infineon Technologies AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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