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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	0.0347	23.37***
α ARCH Response to squared shocks	0.1443	30.65***
β GARCH Volatility persistence	0.7716	276.55***
γ leverage Additional response to negative shocks	0.1178	15.58***

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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