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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	1.4504	9.92***
α ARCH Response to squared shocks	0.1123	32.24***
β GARCH Volatility persistence	0.9838	559.29***
ν DF Student-t tail thickness	10.5945	4.54***

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Deutsche Borse AG DAX Mid-Cap Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Borse AG DAX Mid-Cap Index Analyses