V-Lab
DAX Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, September 25th, 2026
1 Day
93.13%
increased by 2.62%
1 Week
92.26%
increased by 1.75%
1 Month
89.91%
decreased by 0.60%
Analysis last updated: Friday, September 25, 2026 at 08:59 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1992 to Sep 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 237% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
GJR-GARCH Model
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Inverse leverage: Positive returns increase volatility 237% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.9128 | 6.28*** |
| αARCH | 0.1368 | 6.09*** |
| βGARCH | 0.8458 | 53.16*** |
| γleverage | -0.0961 | -3.15*** |
0.935
Persistence10d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.9128 | 6.28*** |
α ARCH Response to squared shocks | 0.1368 | 6.09*** |
β GARCH Volatility persistence | 0.8458 | 53.16*** |
γ leverage Additional response to negative shocks | -0.0961 | -3.15*** |
Persistence:
0.935
Half-life:
10 days
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