DAX Volatility Index

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	param	t-stat
$ω$	0.6628	3.51
$α$	0.1588	3.36
$β$	0.4690	3.48
$γ_{1}$	-6.6830	-1.40
$γ_{2}$	6.6831	0.88
$γ_{3}$	3.0223	0.44
$γ_{4}$	-7.2750	-1.13
$γ_{5}$	7.7388	1.58
$γ_{6}$	-8.0916	-1.98
$γ_{7}$	11.7818	2.60
$γ_{8}$	-15.8928	-3.02
$γ_{9}$	22.1350	2.54
$γ_{10}$	-38.5538	-2.50

V-Lab

Penneo APS Spline-GARCH Volatility Analysis

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Date Range:

Parameter Estimates

News Impact Curve

Volatility Forecasts

Other Penneo APS Analyses