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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8440	5.83***
α ARCH Response to squared shocks	0.0715	7.83***
β GARCH Volatility persistence	0.8912	63.05***

γ₁	-0.0297	-0.72
γ₂	0.1166	1.84*
γ₃	-0.1993	-4.32***
γ₄	0.2010	4.61***
γ₅	-0.1280	-2.92***
γ₆	0.0319	0.71
γ₇	0.0610	1.56
γ₈	-0.1053	-2.27**
γ₉	0.0623	1.47

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ThyssenKrupp AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ThyssenKrupp AG Analyses