V-Lab
Deutsche Borse TecDAX Total Return Selection Index EGARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
18.24%
decreased by 0.23%
1 Week
18.50%
increased by 0.03%
1 Month
19.46%
increased by 0.99%
Analysis last updated: Friday, September 11, 2026 at 08:44 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1998 to Sep 11, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 85% more than equivalent positive returns.
σ
EGARCH Model
Tap to view equation
Leverage: Negative returns increase volatility 85% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0192 | 4.12*** |
| αARCH | 0.1977 | 12.42*** |
| βGARCH | 0.9818 | 352.40*** |
| γleverage | -0.0587 | -3.94*** |
0.982
Persistence38d
Half-lifeσ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0192 | 4.12*** |
α ARCH Response to squared shocks | 0.1977 | 12.42*** |
β GARCH Volatility persistence | 0.9818 | 352.40*** |
γ leverage Additional response to negative shocks | -0.0587 | -3.94*** |
Persistence:
0.982
Half-life:
38 days
Other Deutsche Borse TecDAX Total Return Selection Index Analyses
Other EGARCH Analyses on Equity Indices