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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	0.0599	10.94***
α ARCH Response to squared shocks	0.0333	14.04***
β GARCH Volatility persistence	0.9250	414.99***
γ leverage Additional response to negative shocks	0.0520	7.32***

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Mercedes-Benz Group AG GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mercedes-Benz Group AG Analyses