DAX Volatility Index

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0184	8.76***
β GARCH Volatility persistence	0.8689	130.25***
γ leverage Additional response to negative shocks	0.0823	20.34***
λ₁ tau intercept Baseline long-term coefficient	0.0092	2.50**
λ₂ forecast adj. Forecast performance sensitivity	0.0251	2.79***
λ₃ tau persistence Long-term factor persistence	0.9720	98.10***

V-Lab

Siemens AG MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Siemens AG Analyses