DAX Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	4.1027	3.84***
α ARCH Response to squared shocks	0.0491	23.52***
β GARCH Volatility persistence	0.9891	334.39***
ν DF Student-t tail thickness	4.6243	7.12***

V-Lab

adidas AG GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other adidas AG Analyses