DAX Volatility Index

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How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.5609	2.05**
αARCH	0.1555	2.08**
βGARCH	0.8366	16.31***
γleverage	-0.0923	-0.90

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5609	2.05**
α ARCH Response to squared shocks	0.1555	2.08**
β GARCH Volatility persistence	0.8366	16.31***
γ leverage Additional response to negative shocks	-0.0923	-0.90

V-Lab

NX Filtration N.V. GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NX Filtration N.V. Analyses