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	0.0491	18.56***
α ARCH Response to squared shocks	0.0699	19.42***
β GARCH Volatility persistence	0.9167	363.92***
γ leverage Additional response to negative shocks	0.1226	9.84***
δ power Transformation power	1.9698	27.19***

V-Lab

Fresenius SE & Co KGaA Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Fresenius SE & Co KGaA Analyses