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 Friday, December 27th, 2024:14.96% (-0.56%)

Analysis last updated: Monday, December 23, 2024 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5219	5.63
$α$	0.1051	10.26
$β$	0.8559	67.26
$γ_{1}$	0.0986	1.57
$γ_{2}$	-0.3267	-3.52
$γ_{3}$	0.5358	8.05
$γ_{4}$	-0.5403	-7.52
$γ_{5}$	0.3417	4.07
$γ_{6}$	-0.1407	-1.76
$γ_{7}$	0.0869	1.32
$γ_{8}$	-0.1237	-2.10
$γ_{9}$	0.0977	2.18

Estimation Period:
Jan 2, 1998 to Dec 23, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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