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	1.0949	5.94***
α ARCH Response to squared shocks	0.0893	11.20***
β GARCH Volatility persistence	0.8925	100.78***

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Deutsche Boerse AG German Stock Index DAX Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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