DAX Volatility Index

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How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	1.9317	7.17***
αARCH	0.1028	12.11***
βGARCH	0.8804	100.00***

γ₁	0.0080	3.71***
γ₂	-0.0086	-3.20***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9317	7.17***
α ARCH Response to squared shocks	0.1028	12.11***
β GARCH Volatility persistence	0.8804	100.00***

γ₁	0.0080	3.71***
γ₂	-0.0086	-3.20***

V-Lab

Deutsche Borse TecDAX Total Return Selection Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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