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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	81
α ARCH Response to squared shocks	0.0176	5.41***
β GARCH Volatility persistence	0.9069	148.80***
γ leverage Additional response to negative shocks	0.0570	11.21***
λ₁ tau intercept Baseline long-term coefficient	0.0024	0.84
λ₂ forecast adj. Forecast performance sensitivity	0.0037	1.36
λ₃ tau persistence Long-term factor persistence	0.9955	260.26***

V-Lab

Merck & Co Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Merck & Co Inc Analyses