DAX Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0530	15.17***
β GARCH Volatility persistence	0.7319	55.10***
γ leverage Additional response to negative shocks	0.0980	16.20***
λ₁ tau intercept Baseline long-term coefficient	0.0317	2.33**
λ₂ forecast adj. Forecast performance sensitivity	0.0578	2.52**
λ₃ tau persistence Long-term factor persistence	0.9321	36.77***

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RWE AG MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other RWE AG Analyses