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	0.5858	6.42***
α ARCH Response to squared shocks	0.1262	1.70*
β GARCH Volatility persistence	0.6995	5.31***

γ₁	-1.9854	-4.85***
γ₂	3.7994	5.91***
γ₃	-3.5742	-6.42***
γ₄	3.0388	4.78***
γ₅	-1.6742	-2.45**
γ₆	0.3021	0.52

V-Lab

Rheinmetall AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Rheinmetall AG Analyses