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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 5, 2013 to Jul 17, 2026Model 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
| Parameter | Value | t-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
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