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
m window Rolling window length	36
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8457	267.62***
γ leverage Additional response to negative shocks	0.1800	34.56***
λ₁ tau intercept Baseline long-term coefficient	0.0053	4.64***
λ₂ forecast adj. Forecast performance sensitivity	0.0174	2.66***
λ₃ tau persistence Long-term factor persistence	0.9781	127.22***

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Dow Jones Euro Stoxx Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Euro Stoxx Index Analyses