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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	1.1557	6.20***
α ARCH Response to squared shocks	0.0785	8.55***
β GARCH Volatility persistence	0.8819	61.79***

γ₁	0.0347	1.34
γ₂	-0.0241	-0.62
γ₃	-0.0456	-1.70*
γ₄	0.0954	4.06***
γ₅	-0.1427	-6.03***
γ₆	0.1515	4.97***
γ₇	-0.0891	-2.14**
γ₈	0.0140	0.36

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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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