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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	1.1730	6.32***
α ARCH Response to squared shocks	0.0781	8.54***
β GARCH Volatility persistence	0.8824	62.05***

γ₁	0.0368	1.43
γ₂	-0.0266	-0.69
γ₃	-0.0447	-1.67*
γ₄	0.0948	4.02***
γ₅	-0.1421	-5.99***
γ₆	0.1509	4.94***
γ₇	-0.0886	-2.12**
γ₈	0.0137	0.35

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Continental AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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