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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	1.2490	11.07***
α ARCH Response to squared shocks	0.1043	24.58***
β GARCH Volatility persistence	0.9737	343.71***
ν DF Student-t tail thickness	9.5076	3.54***

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Deutsche Borse SDAX Performance Index (XETRA) GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Borse SDAX Performance Index (XETRA) Analyses