Boeing Co/The AGARCH Volatility Analysis
Volatility prediction for Thursday, October 15th, 2026
1 Day
32.32%
decreased by 0.82%
1 Week
32.34%
decreased by 0.80%
1 Month
32.41%
decreased by 0.73%
Analysis last updated: Wednesday, October 14, 2026 at 10:34 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 9, 2026Model Insight
The news-impact curve is shifted (γ = 0.72) 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 | 0.0402 | 1.69* |
| αARCH | 0.0618 | 8.66*** |
| βGARCH | 0.9214 | 107.05*** |
| γleverage | 0.7195 | 4.99*** |
0.983
Persistence41d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0402 | 1.69* |
α ARCH Response to squared shocks | 0.0618 | 8.66*** |
β GARCH Volatility persistence | 0.9214 | 107.05*** |
γ leverage Additional response to negative shocks | 0.7195 | 4.99*** |
Persistence:
0.983
Half-life:
41 days
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