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

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V-Lab

DAX Volatility Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, December 20th, 2024:136.82% (+68.56%)

Analysis last updated: Friday, December 20, 2024 at 09:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.1412	38.34
$β$	0.7875	107.25
$γ$	-0.1065	-14.54
$λ_{1}$	0.0686	2.19
$λ_{2}$	0.0111	3.97
$λ_{3}$	0.9865	290.74

Estimation Period:
Jan 2, 1992 to Mar 28, 2024

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Volatility Forecasts

Volatility Forecasts