Deutsche Borse AG DAX Mid-Cap Index Asy. Power MEM Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
15.09%
1 Week
14.86%
1 Month
14.22%
Analysis last updated: Thursday, October 15, 2026 at 08:06 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 13, 1996 to Oct 9, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 60% more than equivalent positive returns. The volatility power δ = 1.33 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APMEM Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0462 | 7.02*** |
| αARCH | 0.2085 | 15.32*** |
| βGARCH | 0.7655 | 54.20*** |
| γleverage | 0.1737 | 6.18*** |
| δpower | 1.3308 | 5.76*** |
0.940
Persistence11d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0462 | 7.02*** |
α ARCH Response to squared shocks | 0.2085 | 15.32*** |
β GARCH Volatility persistence | 0.7655 | 54.20*** |
γ leverage Additional response to negative shocks | 0.1737 | 6.18*** |
δ power Transformation power | 1.3308 | 5.76*** |
Persistence:
0.940
Half-life:
11 days
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