DAX Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	22.79***
α ARCH Response to squared shocks	0.2108	15.82***
β GARCH Volatility persistence	0.7562	93.47***
γ leverage Additional response to negative shocks	-0.1827	-12.42***

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iTraxx/CBOE Europe Main 1-Month Volatility Index (BP Volatility) GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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