V-Lab
adidas AG AGARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
32.40%
increased by 0.25%
1 Week
32.36%
increased by 0.21%
1 Month
32.26%
increased by 0.11%
Analysis last updated: Friday, September 11, 2026 at 07:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 17, 1995 to Sep 4, 2026Model Insight
The news-impact curve is shifted (γ = 1.42) 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
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Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0525 | 1.41 |
| αARCH | 0.0547 | 9.27*** |
| βGARCH | 0.9050 | 94.83*** |
| γleverage | 1.4227 | 5.16*** |
0.960
Persistence17d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0525 | 1.41 |
α ARCH Response to squared shocks | 0.0547 | 9.27*** |
β GARCH Volatility persistence | 0.9050 | 94.83*** |
γ leverage Additional response to negative shocks | 1.4227 | 5.16*** |
Persistence:
0.960
Half-life:
17 days
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