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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1880	24.69***
α ARCH Response to squared shocks	0.1734	35.26***
β GARCH Volatility persistence	0.7524	143.43***
γ leverage Additional response to negative shocks	0.0750	7.62***

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Volkswagen AG Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Volkswagen AG Analyses