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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2565	4.37***
α ARCH Response to squared shocks	0.0761	8.06***
β GARCH Volatility persistence	0.8832	69.99***

γ₁	0.0832	5.73***
γ₂	-0.1302	-6.41***
γ₃	0.0704	5.02***
γ₄	-0.0235	-1.82*
γ₅	-0.0146	-1.08
γ₆	0.0224	2.09**

V-Lab

RWE AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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