V-Lab
adidas AG APARCH Volatility Analysis
Volatility prediction for Thursday, September 10th, 2026
1 Day
35.40%
1 Week
35.45%
1 Month
35.62%
Analysis last updated: Thursday, September 10, 2026 at 06:59 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
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible. The volatility power δ = 0.82 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0429 | 5.24*** |
| αARCH | 0.0480 | 6.64*** |
| βGARCH | 0.9426 | 115.31*** |
| γleverage | 0.8336 | 4.68*** |
| δpower | 0.8190 | 5.30*** |
0.978
Persistence32d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0429 | 5.24*** |
α ARCH Response to squared shocks | 0.0480 | 6.64*** |
β GARCH Volatility persistence | 0.9426 | 115.31*** |
γ leverage Additional response to negative shocks | 0.8336 | 4.68*** |
δ power Transformation power | 0.8190 | 5.30*** |
Persistence:
0.978
Half-life:
32 days
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