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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	61
α ARCH Response to squared shocks	0.0433	18.29***
β GARCH Volatility persistence	0.8839	127.77***
γ leverage Additional response to negative shocks	0.0479	13.76***
λ₁ tau intercept Baseline long-term coefficient	0.0091	4.76***
λ₂ forecast adj. Forecast performance sensitivity	0.0240	3.41***
λ₃ tau persistence Long-term factor persistence	0.9741	128.97***

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Deutsche Bank AG MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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