DAX Volatility Index

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EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	30.5920
α ARCH Response to squared shocks	0.6243
β GARCH Volatility persistence	0.3509

γ₁	5,329.3812
γ₂	-7,763.6775
γ₃	2,493.2351
γ₄	434.2761
γ₅	-670.0637
γ₆	428.9095
γ₇	-669.3696
γ₈	477.9596
γ₉	-64.6525
γ₁₀	114.1509

V-Lab

Nexi S.P.A. Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nexi S.P.A. Analyses