DAX Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0120	5.13***
β GARCH Volatility persistence	0.8119	139.09***
γ leverage Additional response to negative shocks	0.1644	34.84***
λ₁ tau intercept Baseline long-term coefficient	0.0092	5.62***
λ₂ forecast adj. Forecast performance sensitivity	0.0420	6.65***
λ₃ tau persistence Long-term factor persistence	0.9539	146.08***

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Deutsche Borse TecDAX Total Return Selection Index MF2-GARCH Volatility Analysis

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News Impact Curve

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