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	1.2870	21.26***
α ARCH Response to squared shocks	0.2165	17.06***
β GARCH Volatility persistence	0.7979	130.74***
γ leverage Additional response to negative shocks	-0.1556	-9.95***

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iTraxx/CBOE Europe Main 6-Month Volatility Index (BP Volatility) GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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