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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 4, 2021 to Jul 10, 2026Model 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
| Parameter | Value | t-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
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