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
ω const Unconditional variance weight	1.0812	6.66***
α ARCH Response to squared shocks	0.0938	8.55***
β GARCH Volatility persistence	0.8598	63.65***

γ₁	-0.0411	-0.71
γ₂	0.1429	1.55
γ₃	-0.2029	-3.45***
γ₄	0.1333	2.64***
γ₅	0.0173	0.35
γ₆	-0.1414	-2.99***
γ₇	0.1508	3.35***
γ₈	-0.0526	-1.27
γ₉	-0.0368	-0.77
γ₁₀	0.0436	1.20

V-Lab

Volkswagen AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Volkswagen AG Analyses