DAX Volatility Index

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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	0.8130	3.92***
α ARCH Response to squared shocks	0.0748	6.96***
β GARCH Volatility persistence	0.8736	49.00***

γ₁	-0.0684	-0.92
γ₂	-0.0696	-0.67
γ₃	0.3197	5.16***
γ₄	-0.2806	-4.69***
γ₅	0.1587	2.30**
γ₆	-0.1409	-1.90*
γ₇	0.1673	2.42**
γ₈	-0.1289	-1.99**
γ₉	0.0530	1.10

V-Lab

Deutsche Telekom AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Telekom AG Analyses