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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	126
α ARCH Response to squared shocks	0.0251	9.94***
β GARCH Volatility persistence	0.8856	238.39***
γ leverage Additional response to negative shocks	0.0946	23.54***
λ₁ tau intercept Baseline long-term coefficient	0.0255	3.55***
λ₂ forecast adj. Forecast performance sensitivity	0.0146	4.36***
λ₃ tau persistence Long-term factor persistence	0.9801	200.93***

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Continental AG MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Continental AG Analyses