V-Lab
Deutsche Borse TecDAX Total Return Selection Index AGARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
19.17%
decreased by 0.65%
1 Week
19.51%
decreased by 0.31%
1 Month
20.66%
increased by 0.84%
Analysis last updated: Friday, August 7, 2026 at 07:55 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1998 to Aug 7, 2026Model Insight
The news-impact curve is shifted (γ = 0.55) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0206 | 8.85*** |
α ARCH Response to squared shocks | 0.1004 | 51.24*** |
β GARCH Volatility persistence | 0.8824 | 440.33*** |
γ leverage Additional response to negative shocks | 0.5517 | 24.54*** |
Persistence:
0.983
Half-life:
40 days
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