DAX Volatility Index

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9311	10.51***
α ARCH Response to squared shocks	0.0606	5.07***
β GARCH Volatility persistence	0.8348	23.43***

γ₁	-0.0380	-1.41
γ₂	-0.0011	-0.03
γ₃	0.1217	3.57***
γ₄	-0.1466	-3.76***
γ₅	0.0971	2.17**
γ₆	-0.0347	-0.92
γ₇	0.0001	0.00
γ₈	-0.0042	-0.18

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adidas AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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