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
ω const Unconditional variance weight	1.0555	6.50***
α ARCH Response to squared shocks	0.0937	8.52***
β GARCH Volatility persistence	0.8602	64.06***

γ₁	-0.0563	-1.00
γ₂	0.1677	1.87*
γ₃	-0.2178	-3.73***
γ₄	0.1390	2.75***
γ₅	0.0217	0.43
γ₆	-0.1531	-3.26***
γ₇	0.1615	3.63***
γ₈	-0.0543	-1.30
γ₉	-0.0480	-0.92
γ₁₀	0.0835	1.10

V-Lab

Volkswagen AG Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Volkswagen AG Analyses