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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	0.0369	27.79***
α ARCH Response to squared shocks	0.0359	13.00***
β GARCH Volatility persistence	0.8558	366.68***
γ leverage Additional response to negative shocks	0.1614	24.61***

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Deutsche Borse AG DAX Mid-Cap Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Borse AG DAX Mid-Cap Index Analyses