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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	17.77***
β GARCH Volatility persistence	0.6477	50.19***
γ leverage Additional response to negative shocks	0.1054	13.30***
λ₁ tau intercept Baseline long-term coefficient	0.0079	1.41
λ₂ forecast adj. Forecast performance sensitivity	0.0110	2.62***
λ₃ tau persistence Long-term factor persistence	0.9868	180.31***

V-Lab

Merck KGaA MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Merck KGaA Analyses