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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	66
α ARCH Response to squared shocks	0.0228	9.43***
β GARCH Volatility persistence	0.7805	82.39***
γ leverage Additional response to negative shocks	0.1157	19.84***
λ₁ tau intercept Baseline long-term coefficient	0.0240	2.03**
λ₂ forecast adj. Forecast performance sensitivity	0.1209	2.63***
λ₃ tau persistence Long-term factor persistence	0.8662	16.71***

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Coca-Cola Co/The MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Coca-Cola Co/The Analyses