DAX Volatility Index

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EURO STOXX 50 Volatility Index

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	0.4677	2.98***
α ARCH Response to squared shocks	0.2712	3.25***
β GARCH Volatility persistence	0.0000	0.00

γ₁	-11.2751	-2.59***
γ₂	14.7364	2.40**
γ₃	-2.9634	-0.97
γ₄	-2.9938	-1.26
γ₅	3.1814	1.26
γ₆	0.2815	0.16

V-Lab

Samhallsbygg I Nor Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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