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	0.5172	5.06***
α ARCH Response to squared shocks	0.1606	3.32***
β GARCH Volatility persistence	0.1524	1.27

γ₁	-0.3954	-2.41**
γ₂	0.5994	2.57**
γ₃	-0.3443	-2.63***
γ₄	0.2115	1.96*
γ₅	-0.1559	-1.81*
γ₆	0.1418	2.62***

V-Lab

Getinge Ab Publ Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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