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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8854	10.00***
α ARCH Response to squared shocks	0.0674	5.89***
β GARCH Volatility persistence	0.8511	28.08***

γ₁	-0.0011	-0.04
γ₂	0.0197	0.47
γ₃	-0.0564	-1.29
γ₄	0.0679	1.07
γ₅	-0.0801	-1.21
γ₆	0.1029	2.01**
γ₇	-0.0766	-1.68*
γ₈	0.0540	1.23
γ₉	-0.0523	-1.73*

V-Lab

Merck & Co Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Merck & Co Inc Analyses