DAX 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
ω const Unconditional variance weight	1.1143	5.68***
α ARCH Response to squared shocks	0.0684	8.23***
β GARCH Volatility persistence	0.8997	78.69***

γ₁	0.0463	2.94***
γ₂	-0.0851	-3.61***
γ₃	0.0694	4.77***
γ₄	-0.0516	-4.31***
γ₅	0.0400	3.39***
γ₆	-0.0290	-3.44***

V-Lab

BASF SE Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BASF SE Analyses