DAX Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, July 10th, 2026
1 Day
129.63%
increased by 0.08%
1 Week
125.18%
decreased by 4.37%
1 Month
112.41%
decreased by 17.14%
Analysis last updated: Friday, July 10, 2026 at 08:33 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1992 to Apr 30, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 228% 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.8660 | 24.90*** |
α ARCH Response to squared shocks | 0.1354 | 24.21*** |
β GARCH Volatility persistence | 0.8477 | 213.97*** |
γ leverage Additional response to negative shocks | -0.0940 | -12.33*** |
Persistence:
0.936
Half-life:
10 days
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