V-Lab
DAX Volatility Index MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
136.48%
1 Week
127.87%
1 Month
112.27%
Analysis last updated: Friday, July 24, 2026 at 11:21 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 353% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 26 | |
α ARCH Response to squared shocks | 0.1607 | 42.60*** |
β GARCH Volatility persistence | 0.7539 | 99.86*** |
γ leverage Additional response to negative shocks | -0.1252 | -17.24*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0842 | 2.08** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0126 | 4.06*** |
λ₃ tau persistence Long-term factor persistence | 0.9846 | 253.90*** |
Persistence:
0.852
Half-life:
4 days
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