XTB S A EGARCH Volatility Analysis
Volatility prediction for Monday, July 13th, 2026
1 Day
57.65%
decreased by 3.21%
1 Week
55.43%
decreased by 5.43%
1 Month
52.35%
decreased by 8.51%
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
Volatility shocks decay with a half-life of 3 trading days, meaning a shock loses half its impact after approximately 3 days.
σ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4202 | 8.70*** |
α ARCH Response to squared shocks | 0.1886 | 11.72*** |
β GARCH Volatility persistence | 0.8186 | 38.71*** |
γ leverage Additional response to negative shocks | -0.0209 | -1.39 |
Persistence:
0.819
Half-life:
3 days
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