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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5871	7.94***
α ARCH Response to squared shocks	0.1289	7.70***
β GARCH Volatility persistence	0.6902	17.01***

γ₁	-0.0596	-5.54***
γ₂	0.0714	4.73***
γ₃	-0.0176	-1.76*
γ₄	0.0214	2.20**
γ₅	-0.0243	-3.50***

V-Lab

Merck KGaA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Merck KGaA Analyses