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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	66
α ARCH Response to squared shocks	0.0803	18.39***
β GARCH Volatility persistence	0.6566	54.04***
γ leverage Additional response to negative shocks	0.1058	12.72***
λ₁ tau intercept Baseline long-term coefficient	0.0226	1.49
λ₂ forecast adj. Forecast performance sensitivity	0.0465	1.89*
λ₃ tau persistence Long-term factor persistence	0.9448	31.12***

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Beiersdorf AG MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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