DAX Volatility Index

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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0338	27.42***
α ARCH Response to squared shocks	0.0817	20.43***
β GARCH Volatility persistence	0.7951	287.65***
γ leverage Additional response to negative shocks	0.1904	28.75***

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Dow Jones Euro Stoxx Index Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Euro Stoxx Index Analyses