V-Lab: DAX Volatility Index GJR-GARCH Volatility Analysis

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V-Lab

DAX Volatility Index GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, December 27th, 2024:115.52% (-7.34%)

Analysis last updated: Saturday, December 28, 2024 at 12:16 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7211	23.64
$α$	0.1287	23.30
$β$	0.8547	215.57
$γ$	-0.0866	-11.28

Estimation Period:
Jan 2, 1992 to Dec 23, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts