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	71
α ARCH Response to squared shocks	0.0288	15.64***
β GARCH Volatility persistence	0.8729	118.21***
γ leverage Additional response to negative shocks	0.0572	16.45***
λ₁ tau intercept Baseline long-term coefficient	0.0102	2.15**
λ₂ forecast adj. Forecast performance sensitivity	0.0146	2.36**
λ₃ tau persistence Long-term factor persistence	0.9806	118.15***

V-Lab

Henkel AG & Co KGaA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Henkel AG & Co KGaA Analyses