DAX Volatility Index

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{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8485	197.20***
γ leverage Additional response to negative shocks	0.1657	35.69***
λ₁ tau intercept Baseline long-term coefficient	0.0083	2.46**
λ₂ forecast adj. Forecast performance sensitivity	0.0276	2.35**
λ₃ tau persistence Long-term factor persistence	0.9671	67.77***

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Deutsche Boerse AG German Stock Index DAX MF2-GARCH Volatility Analysis

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