V-Lab: Deutsche Borse TecDAX Total Return Selection Index Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Deutsche Borse TecDAX Total Return Selection Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:16.23% (-0.30%)

Analysis last updated: Friday, April 19, 2024 at 06:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5649	5.68
$α$	0.1064	10.25
$β$	0.8562	68.09
$γ_{1}$	0.1309	1.95
$γ_{2}$	-0.3889	-3.89
$γ_{3}$	0.5782	7.89
$γ_{4}$	-0.5321	-6.58
$γ_{5}$	0.2831	3.26
$γ_{6}$	-0.0788	-1.03
$γ_{7}$	0.0586	0.88
$γ_{8}$	-0.1119	-1.65
$γ_{9}$	0.0828	1.57

Estimation Period:
Jan 2, 1998 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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