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EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8169	3.93***
α ARCH Response to squared shocks	0.0752	7.02***
β GARCH Volatility persistence	0.8738	49.55***

γ₁	-0.0690	-0.93
γ₂	-0.0669	-0.65
γ₃	0.3160	5.07***
γ₄	-0.2782	-4.63***
γ₅	0.1566	2.29**
γ₆	-0.1378	-1.87*
γ₇	0.1637	2.38**
γ₈	-0.1249	-1.92*
γ₉	0.0494	1.01

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Deutsche Telekom AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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