DAX Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.0000	0.01
β GARCH Volatility persistence	0.9256	224.12***
γ leverage Additional response to negative shocks	0.0716	22.93***
λ₁ tau intercept Baseline long-term coefficient	0.0309	1.69*
λ₂ forecast adj. Forecast performance sensitivity	0.0268	1.77*
λ₃ tau persistence Long-term factor persistence	0.9653	49.40***

V-Lab

Capgemini Se MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Capgemini Se Analyses