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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	1.9874	6.04***
α ARCH Response to squared shocks	0.0776	37.48***
β GARCH Volatility persistence	0.9908	577.75***
ν DF Student-t tail thickness	7.6882	6.65***

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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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