DAX Volatility Index MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
86.58%
1 Week
88.16%
1 Month
90.69%
Analysis last updated: Friday, October 30, 2026 at 06:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1992 to Oct 22, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 367% 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
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 26 | |
| αARCH | 0.1601 | 9.77*** |
| βGARCH | 0.7555 | 31.31*** |
| γleverage | -0.1258 | -4.98*** |
| λ₁tau intercept | 0.0802 | 1.80* |
| λ₂forecast adj. | 0.0120 | 3.96*** |
| λ₃tau persistence | 0.9854 | 259.38*** |
0.853
Persistence4d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 26 | |
α ARCH Response to squared shocks | 0.1601 | 9.77*** |
β GARCH Volatility persistence | 0.7555 | 31.31*** |
γ leverage Additional response to negative shocks | -0.1258 | -4.98*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0802 | 1.80* |
λ₂ forecast adj. Forecast performance sensitivity | 0.0120 | 3.96*** |
λ₃ tau persistence Long-term factor persistence | 0.9854 | 259.38*** |
Persistence:
0.853
Half-life:
4 days
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