DAX Volatility Index

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5780	6.44***
α ARCH Response to squared shocks	0.1248	1.69*
β GARCH Volatility persistence	0.6989	5.24***

γ₁	-2.0761	-5.03***
γ₂	3.9558	6.08***
γ₃	-3.6825	-6.47***
γ₄	3.0797	4.76***
γ₅	-1.6261	-2.35**
γ₆	0.2226	0.38

V-Lab

Rheinmetall AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Rheinmetall AG Analyses