Deutsche Borse TecDAX Total Return Selection Index GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, July 9th, 2026
1 Day
22.84%
increased by 3.83%
1 Week
22.96%
increased by 3.95%
1 Month
23.41%
increased by 4.40%
Analysis last updated: Wednesday, July 8, 2026 at 10:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1998 to Jul 3, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 146% more than equivalent positive returns.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0371 | 23.97*** |
α ARCH Response to squared shocks | 0.0589 | 18.34*** |
β GARCH Volatility persistence | 0.8857 | 430.35*** |
γ leverage Additional response to negative shocks | 0.0860 | 13.90*** |
Persistence:
0.988
Half-life:
55 days
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