DAX Volatility Index

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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
ω const Unconditional variance weight	1.0165	5.93***
α ARCH Response to squared shocks	0.0556	7.63***
β GARCH Volatility persistence	0.9150	83.51***

γ₁	0.0565	1.20
γ₂	0.0209	0.27
γ₃	-0.2294	-4.48***
γ₄	0.2796	6.72***
γ₅	-0.2165	-4.59***
γ₆	0.1329	2.93***
γ₇	-0.0403	-0.95
γ₈	-0.0047	-0.11
γ₉	-0.0076	-0.24

V-Lab

Siemens AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Siemens AG Analyses