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V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of BASF SE AGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Jul 10, 2026

Model 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

ParameterValuet-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