DAX Volatility Index

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0005	4.46***
α ARCH Response to squared shocks	0.0618	8.94***
β GARCH Volatility persistence	0.9156	101.08***

γ₁	0.0658	1.92*
γ₂	-0.0423	-0.78
γ₃	-0.0998	-2.63***
γ₄	0.1586	4.79***
γ₅	-0.1437	-4.65***
γ₆	0.1118	3.42***
γ₇	-0.0933	-2.98***
γ₈	0.0581	2.60***

V-Lab

Deutsche Bank AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Bank AG Analyses