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
m window Rolling window length	61
α ARCH Response to squared shocks	0.3488	11.11***
β GARCH Volatility persistence	0.0706	2.55**
γ leverage Additional response to negative shocks	-0.3093	-11.05***
λ₁ tau intercept Baseline long-term coefficient	4.6940	0.40
λ₂ forecast adj. Forecast performance sensitivity	0.3303	1.22
λ₃ tau persistence Long-term factor persistence	0.3230	0.35

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Ardagh Metal Packaging S A MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ardagh Metal Packaging S A Analyses