DAX Volatility Index

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0672	21.11***
β GARCH Volatility persistence	0.8035	104.01***
γ leverage Additional response to negative shocks	0.0785	15.82***
λ₁ tau intercept Baseline long-term coefficient	0.0316	4.58***
λ₂ forecast adj. Forecast performance sensitivity	0.0323	5.12***
λ₃ tau persistence Long-term factor persistence	0.9606	123.98***

V-Lab

Volkswagen AG MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Volkswagen AG Analyses