Avanza Bank Holding AB AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Tuesday, July 14th, 2026
1 Day
27.16%
1 Week
35.31%
1 Month
65.39%
Analysis last updated: Tuesday, July 14, 2026 at 07:16 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 7, 2025 to Jul 10, 2026Model Insight
Estimated persistence of 1.057 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Asymmetry: positive returns raise volatility more
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7462 | 6.64*** |
α ARCH Response to squared shocks | 0.4829 | 14.19*** |
β GARCH Volatility persistence | 0.5738 | 43.00*** |
γ leverage Additional response to negative shocks | -0.2956 | -3.01*** |
Persistence:
1.057
Half-life:
-
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