DAX Volatility Index

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0677	21.16***
β GARCH Volatility persistence	0.8029	103.51***
γ leverage Additional response to negative shocks	0.0781	15.71***
λ₁ tau intercept Baseline long-term coefficient	0.0318	4.57***
λ₂ forecast adj. Forecast performance sensitivity	0.0325	5.11***
λ₃ tau persistence Long-term factor persistence	0.9604	123.15***

V-Lab

Volkswagen AG MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Volkswagen AG Analyses