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	0.0361	14.77***
α ARCH Response to squared shocks	0.0146	5.75***
β GARCH Volatility persistence	0.9017	462.63***
γ leverage Additional response to negative shocks	0.1231	23.39***

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Deutsche Boerse AG German Stock Index DAX GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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