This one is slightly more interesting than a mere cognate as it is believed that the Proto-Indo-European speakers worshipped a sky god with the reconstructed name *Dyḗus ph₂tḗr ("sky-father") which is the ancestor of these (also Tyr and the like on the Germanic side). See:
https://en.wikipedia.org/wiki/*Dy%C4%93us "*Dyēus is considered by scholars the most securely reconstructed deity of the Indo-European pantheon, as identical formulas referring to him can be found among the subsequent Indo-European languages and myths of the Vedic Indo-Aryans, Latins, Greeks, Phrygians, Messapians, Thracians, Illyrians, Albanians and Hittites."