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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	0.5860	7.93***
α ARCH Response to squared shocks	0.1290	7.70***
β GARCH Volatility persistence	0.6896	16.96***

γ₁	-0.0600	-5.53***
γ₂	0.0719	4.73***
γ₃	-0.0180	-1.79*
γ₄	0.0221	2.25**
γ₅	-0.0249	-3.55***

V-Lab

Merck KGaA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Merck KGaA Analyses