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EURO STOXX 50 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	31
α ARCH Response to squared shocks	0.0819	9.76***
β GARCH Volatility persistence	0.4766	28.47***
γ leverage Additional response to negative shocks	0.3493	18.80***
λ₁ tau intercept Baseline long-term coefficient	0.0304	0.74
λ₂ forecast adj. Forecast performance sensitivity	0.0075	1.90*
λ₃ tau persistence Long-term factor persistence	0.9909	217.16***

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ams-OSRAM AG MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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