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	0.0263	28.90***
α ARCH Response to squared shocks	0.1712	71.62***
β GARCH Volatility persistence	0.8250	345.64***
γ leverage Additional response to negative shocks	0.1340	22.05***
δ power Transformation power	0.7407	18.43***

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Siemens AG Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Siemens AG Analyses