DAX Volatility Index

CBOE EFA ETF Volatility Index

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	1.2580	6.07***
α ARCH Response to squared shocks	0.0732	8.14***
β GARCH Volatility persistence	0.9074	87.07***

γ₁	0.0344	2.20**
γ₂	-0.0608	-2.63***
γ₃	0.0485	3.63***
γ₄	-0.0310	-3.87***

V-Lab

Mercedes-Benz Group AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mercedes-Benz Group AG Analyses