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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	1.9923	6.05***
α ARCH Response to squared shocks	0.0774	37.44***
β GARCH Volatility persistence	0.9908	578.76***
ν DF Student-t tail thickness	7.6938	6.63***

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Deutsche Boerse AG German Stock Index DAX GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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