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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	51
α ARCH Response to squared shocks	0.0399	14.35***
β GARCH Volatility persistence	0.8202	158.34***
γ leverage Additional response to negative shocks	0.0978	21.36***
λ₁ tau intercept Baseline long-term coefficient	0.0079	2.73***
λ₂ forecast adj. Forecast performance sensitivity	0.0151	4.68***
λ₃ tau persistence Long-term factor persistence	0.9830	252.30***

V-Lab

Bayer AG MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bayer AG Analyses