DAX Volatility Index

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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	0.0455	23.12***
α ARCH Response to squared shocks	0.1775	43.37***
β GARCH Volatility persistence	0.7947	162.14***
γ leverage Additional response to negative shocks	0.2831	24.75***
δ power Transformation power	0.7970	15.75***

V-Lab

Deutsche Borse SDAX Performance Index (XETRA) Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Borse SDAX Performance Index (XETRA) Analyses