DAX Volatility Index

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EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0311	13.75***
α ARCH Response to squared shocks	0.0114	4.53***
β GARCH Volatility persistence	0.8972	451.77***
γ leverage Additional response to negative shocks	0.1415	23.65***

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EURO STOXX 50 Price EUR GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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