Deutsche Borse TecDAX Total Return Selection Index AGARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
20.59%
decreased by 1.13%
1 Week
20.86%
decreased by 0.86%
1 Month
21.77%
increased by 0.05%
Analysis last updated: Friday, October 9, 2026 at 07:10 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1998 to Oct 9, 2026Model Insight
The news-impact curve is shifted (γ = 0.56) 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
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Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0203 | 2.17** |
| αARCH | 0.0999 | 12.80*** |
| βGARCH | 0.8828 | 110.40*** |
| γleverage | 0.5557 | 6.17*** |
0.983
Persistence40d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0203 | 2.17** |
α ARCH Response to squared shocks | 0.0999 | 12.80*** |
β GARCH Volatility persistence | 0.8828 | 110.40*** |
γ leverage Additional response to negative shocks | 0.5557 | 6.17*** |
Persistence:
0.983
Half-life:
40 days
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