DAX Volatility Index

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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	1.0121	6.35***
α ARCH Response to squared shocks	0.0789	8.50***
β GARCH Volatility persistence	0.8704	55.60***

γ₁	0.0640	4.00***
γ₂	-0.1055	-4.33***
γ₃	0.0592	4.35***
γ₄	-0.0244	-2.07**
γ₅	0.0220	1.53
γ₆	-0.0274	-2.29**

V-Lab

Bayer AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bayer AG Analyses