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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0703	17.81***
β GARCH Volatility persistence	0.6497	50.56***
γ leverage Additional response to negative shocks	0.1046	13.25***
λ₁ tau intercept Baseline long-term coefficient	0.0078	1.42
λ₂ forecast adj. Forecast performance sensitivity	0.0109	2.63***
λ₃ tau persistence Long-term factor persistence	0.9869	182.46***

V-Lab

Merck KGaA MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Merck KGaA Analyses