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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	0.0233	9.52***
β GARCH Volatility persistence	0.7784	81.37***
γ leverage Additional response to negative shocks	0.1148	19.71***
λ₁ tau intercept Baseline long-term coefficient	0.0242	2.01**
λ₂ forecast adj. Forecast performance sensitivity	0.1224	2.63***
λ₃ tau persistence Long-term factor persistence	0.8647	16.46***

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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