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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	41
α ARCH Response to squared shocks	0.0640	19.86***
β GARCH Volatility persistence	0.8058	112.21***
γ leverage Additional response to negative shocks	0.0734	13.71***
λ₁ tau intercept Baseline long-term coefficient	0.0150	4.15***
λ₂ forecast adj. Forecast performance sensitivity	0.0233	4.41***
λ₃ tau persistence Long-term factor persistence	0.9706	146.93***

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E.ON SE MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other E.ON SE Analyses