DAX Volatility Index

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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	19.2070	15.08***
α ARCH Response to squared shocks	0.1849	5.22***
β GARCH Volatility persistence	0.1421	1.86*
ν DF Student-t tail thickness	3.0728	4.77***

V-Lab

Ardagh Metal Packaging S A GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ardagh Metal Packaging S A Analyses