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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	0.0602	10.97***
α ARCH Response to squared shocks	0.0335	14.10***
β GARCH Volatility persistence	0.9246	413.86***
γ leverage Additional response to negative shocks	0.0521	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

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