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V-Lab

Deutsche Borse SDAX Performance Index (XETRA) EGARCH Volatility Analysis

Volatility prediction for Tuesday, July 21st, 2026

1 Day

14.59%

decreased by 0.93%

1 Week

14.81%

decreased by 0.71%

1 Month

15.49%

decreased by 0.03%

Analysis last updated: Monday, July 20, 2026 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Deutsche Borse SDAX Performance Index (XETRA) EGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Mar 5, 2013 to Jul 17, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 353% more than equivalent positive returns.

σ

EGARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0079
2.30**
α

ARCH

Response to squared shocks

0.1832
29.85***
β

GARCH

Volatility persistence

0.9559
426.95***
γ

leverage

Additional response to negative shocks

-0.1170
-20.53***

Persistence:

0.956

Half-life:

15 days