DAX Volatility Index

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0050	1.71*
β GARCH Volatility persistence	0.8225	271.55***
γ leverage Additional response to negative shocks	0.1957	48.11***
λ₁ tau intercept Baseline long-term coefficient	0.0579	1.54
λ₂ forecast adj. Forecast performance sensitivity	0.2778	1.47
λ₃ tau persistence Long-term factor persistence	0.6756	3.06***

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Deutsche Borse AG DAX Mid-Cap Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Borse AG DAX Mid-Cap Index Analyses