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	0.9213	10.35***
αARCH	0.0616	5.17***
βGARCH	0.8336	23.45***

γ₁	-0.0394	-1.47
γ₂	0.0003	0.01
γ₃	0.1226	3.59***
γ₄	-0.1491	-3.78***
γ₅	0.0994	2.16**
γ₆	-0.0341	-0.87
γ₇	-0.0066	-0.21
γ₈	0.0098	0.19

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9213	10.35***
α ARCH Response to squared shocks	0.0616	5.17***
β GARCH Volatility persistence	0.8336	23.45***

γ₁	-0.0394	-1.47
γ₂	0.0003	0.01
γ₃	0.1226	3.59***
γ₄	-0.1491	-3.78***
γ₅	0.0994	2.16**
γ₆	-0.0341	-0.87
γ₇	-0.0066	-0.21
γ₈	0.0098	0.19

V-Lab

adidas AG Spline-GARCH Volatility Analysis

Date Range:

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