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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	0.0370	10.45***
β GARCH Volatility persistence	0.7183	60.96***
γ leverage Additional response to negative shocks	0.1093	19.12***
λ₁ tau intercept Baseline long-term coefficient	0.7161	0.23
λ₂ forecast adj. Forecast performance sensitivity	0.8006	0.23
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Fresenius SE & Co KGaA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Fresenius SE & Co KGaA Analyses