V-Lab: DAX Volatility Index MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

DAX Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, January 17th, 2025:77.18% (-2.63%)

Analysis last updated: Saturday, January 18, 2025 at 08:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.1471	39.67
$β$	0.7788	107.74
$γ$	-0.1134	-15.58
$λ_{1}$	0.0716	2.18
$λ_{2}$	0.0109	4.10
$λ_{3}$	0.9867	300.08

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

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