Deutsche Borse AG DAX Mid-Cap Index MF2-GARCH Volatility Analysis
Volatility prediction for Thursday, July 9th, 2026
1 Day
32.11%
increased by 10.80%
1 Week
31.28%
increased by 9.97%
1 Month
28.32%
increased by 7.01%
Analysis last updated: Wednesday, July 8, 2026 at 10:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 29, 1996 to Jul 3, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 76 | |
α ARCH Response to squared shocks | 0.0042 | 1.44 |
β GARCH Volatility persistence | 0.8239 | 273.53*** |
γ leverage Additional response to negative shocks | 0.1959 | 48.29*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0560 | 1.63 |
λ₂ forecast adj. Forecast performance sensitivity | 0.2712 | 1.56 |
λ₃ tau persistence Long-term factor persistence | 0.6841 | 3.37*** |
Persistence:
0.926
Half-life:
9 days
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