V-Lab
Australian Dollar EGARCH Volatility Analysis
Volatility prediction for Thursday, September 24th, 2026
1 Day
5.80%
increased by 0.06%
1 Week
5.89%
increased by 0.15%
1 Month
6.26%
increased by 0.52%
Analysis last updated: Wednesday, September 23, 2026 at 07:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 18, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 80% more than equivalent positive returns.
σ
EGARCH Model
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Leverage: Negative returns increase volatility 80% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | -0.0050 | -2.14** |
| αARCH | 0.0814 | 6.62*** |
| βGARCH | 0.9895 | 405.55*** |
| γleverage | -0.0233 | -2.69*** |
0.990
Persistence66d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | -0.0050 | -2.14** |
α ARCH Response to squared shocks | 0.0814 | 6.62*** |
β GARCH Volatility persistence | 0.9895 | 405.55*** |
γ leverage Additional response to negative shocks | -0.0233 | -2.69*** |
Persistence:
0.990
Half-life:
66 days
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