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	0.0528	15.15***
β GARCH Volatility persistence	0.7323	55.07***
γ leverage Additional response to negative shocks	0.0977	16.18***
λ₁ tau intercept Baseline long-term coefficient	0.0318	2.33**
λ₂ forecast adj. Forecast performance sensitivity	0.0578	2.51**
λ₃ tau persistence Long-term factor persistence	0.9320	36.62***

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RWE AG MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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