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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	1.1561	6.18***
α ARCH Response to squared shocks	0.0784	8.56***
β GARCH Volatility persistence	0.8821	62.09***

γ₁	0.0349	1.35
γ₂	-0.0248	-0.64
γ₃	-0.0442	-1.66*
γ₄	0.0936	3.98***
γ₅	-0.1407	-5.98***
γ₆	0.1506	5.01***
γ₇	-0.0903	-2.20**
γ₈	0.0157	0.41

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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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