DAX Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.1674	13.90***
β GARCH Volatility persistence	0.5379	29.78***
γ leverage Additional response to negative shocks	0.0129	0.73
λ₁ tau intercept Baseline long-term coefficient	0.1884	0.74
λ₂ forecast adj. Forecast performance sensitivity	0.0265	0.98
λ₃ tau persistence Long-term factor persistence	0.9583	20.44***

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SFC Energy AG MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other SFC Energy AG Analyses