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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	1.2532	4.37***
α ARCH Response to squared shocks	0.0766	8.07***
β GARCH Volatility persistence	0.8822	69.42***

γ₁	0.0834	5.71***
γ₂	-0.1303	-6.38***
γ₃	0.0701	4.99***
γ₄	-0.0229	-1.76*
γ₅	-0.0152	-1.12
γ₆	0.0226	2.10**

V-Lab

RWE AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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