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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	5.21***
β GARCH Volatility persistence	0.9070	166.36***
γ leverage Additional response to negative shocks	0.0596	12.18***
λ₁ tau intercept Baseline long-term coefficient	0.0021	0.83
λ₂ forecast adj. Forecast performance sensitivity	0.0031	1.41
λ₃ tau persistence Long-term factor persistence	0.9961	310.32***

V-Lab

Merck & Co Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Merck & Co Inc Analyses