DAX Volatility Index

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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2781	7.18***
α ARCH Response to squared shocks	0.0517	6.53***
β GARCH Volatility persistence	0.9003	60.48***

γ₁	0.0590	1.07
γ₂	0.0060	0.07
γ₃	-0.1784	-3.18***
γ₄	0.1697	3.96***
γ₅	-0.0351	-0.87
γ₆	-0.0763	-1.90*
γ₇	0.0910	2.30**
γ₈	-0.0405	-1.07
γ₉	-0.0087	-0.20
γ₁₀	0.0248	0.59

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