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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	0.7734	8.99***
α ARCH Response to squared shocks	0.1308	12.58***
β GARCH Volatility persistence	0.8472	80.84***

V-Lab

Deutsche Borse AG DAX Mid-Cap Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Borse AG DAX Mid-Cap Index Analyses