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V-Lab

XTB S A AGARCH Volatility Analysis

Volatility prediction for Monday, July 13th, 2026

1 Day

52.44%

decreased by 7.42%

1 Week

51.03%

decreased by 8.83%

1 Month

49.79%

decreased by 10.07%

Analysis last updated: Saturday, July 11, 2026 at 08:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of XTB S A AGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Mar 4, 2021 to Jul 10, 2026

Model Insight

The news-impact curve is shifted (γ = 1.44) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.

σ

AGARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

2.7297
16.11***
α

ARCH

Response to squared shocks

0.1208
14.59***
β

GARCH

Volatility persistence

0.5702
27.10***
γ

leverage

Additional response to negative shocks

1.4374
4.43***

Persistence:

0.691

Half-life:

2 days