DAX Volatility Index

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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2609	7.00***
α ARCH Response to squared shocks	0.0498	6.42***
β GARCH Volatility persistence	0.9052	63.51***

γ₁	0.0596	1.05
γ₂	0.0035	0.04
γ₃	-0.1762	-3.06***
γ₄	0.1713	3.92***
γ₅	-0.0404	-0.98
γ₆	-0.0700	-1.69*
γ₇	0.0868	2.11**
γ₈	-0.0399	-1.03
γ₉	-0.0055	-0.12
γ₁₀	0.0208	0.49

V-Lab

Henkel AG & Co KGaA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Henkel AG & Co KGaA Analyses