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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0346	23.35***
α ARCH Response to squared shocks	0.1441	30.62***
β GARCH Volatility persistence	0.7718	276.81***
γ leverage Additional response to negative shocks	0.1182	15.62***

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Deutsche Borse AG DAX Mid-Cap Index Asy. MEM Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Borse AG DAX Mid-Cap Index Analyses