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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Deutsche Borse TecDAX Total Return Selection Index AGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1998 to Aug 7, 2026

Model 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

ParameterValuet-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