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	126
α ARCH Response to squared shocks	0.0251	9.89***
β GARCH Volatility persistence	0.8854	238.26***
γ leverage Additional response to negative shocks	0.0950	23.59***
λ₁ tau intercept Baseline long-term coefficient	0.0252	3.57***
λ₂ forecast adj. Forecast performance sensitivity	0.0146	4.41***
λ₃ tau persistence Long-term factor persistence	0.9802	203.95***

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Continental AG MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Continental AG Analyses