Deutsche Borse TecDAX Total Return Selection Index Asy. Power MEM Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
20.03%
decreased by 1.05%
1 Week
19.34%
decreased by 1.74%
1 Month
17.40%
decreased by 3.68%
Analysis last updated: Friday, July 17, 2026 at 07:38 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 30, 1999 to Jul 17, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 39% more than equivalent positive returns. The volatility power δ = 1.07 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
μ
APMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0427 | 29.63*** |
α ARCH Response to squared shocks | 0.2103 | 68.21*** |
β GARCH Volatility persistence | 0.7784 | 252.41*** |
γ leverage Additional response to negative shocks | 0.1512 | 24.47*** |
δ power Transformation power | 1.0698 | 23.28*** |
Persistence:
0.947
Half-life:
13 days
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