BASF SE AGARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
23.75%
increased by 3.19%
1 Week
23.93%
increased by 3.37%
1 Month
24.54%
increased by 3.98%
Analysis last updated: Thursday, July 16, 2026 at 06:43 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 10, 2026Model Insight
The news-impact curve is shifted (γ = 0.78) 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0363 | 10.10*** |
α ARCH Response to squared shocks | 0.0706 | 39.14*** |
β GARCH Volatility persistence | 0.9022 | 417.32*** |
γ leverage Additional response to negative shocks | 0.7755 | 24.80*** |
Persistence:
0.973
Half-life:
25 days
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