DAX Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0329	32.69***
α ARCH Response to squared shocks	0.0932	25.85***
β GARCH Volatility persistence	0.8159	327.93***
γ leverage Additional response to negative shocks	0.1360	23.55***

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Deutsche Boerse AG German Stock Index DAX Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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