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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	0.0447	22.78***
α ARCH Response to squared shocks	0.1777	61.37***
β GARCH Volatility persistence	0.8034	222.68***
γ leverage Additional response to negative shocks	0.1210	19.06***
δ power Transformation power	0.6056	12.97***

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Mercedes-Benz Group AG Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mercedes-Benz Group AG Analyses