DAX Volatility Index

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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	1.2630	7.24***
α ARCH Response to squared shocks	0.0825	7.19***
β GARCH Volatility persistence	0.8546	52.48***

γ₁	0.0321	0.54
γ₂	-0.0041	-0.04
γ₃	-0.1124	-1.69*
γ₄	0.2062	3.56***
γ₅	-0.2012	-3.91***
γ₆	0.1125	2.21**
γ₇	-0.0693	-0.91
γ₈	0.1034	1.34
γ₉	-0.1470	-2.50**
γ₁₀	0.1157	2.85***

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K+S AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other K+S AG Analyses