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V-Lab

Bayer AG AGARCH Volatility Analysis

Volatility prediction for Monday, August 10th, 2026

1 Day

34.41%

decreased by 1.23%

1 Week

34.35%

decreased by 1.29%

1 Month

34.14%

decreased by 1.50%

Analysis last updated: Saturday, August 8, 2026 at 08:00 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Bayer AG AGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Aug 7, 2026

Model Insight

The news-impact curve is shifted (γ = 0.92) 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

0.0149
3.44***
α

ARCH

Response to squared shocks

0.0591
43.96***
β

GARCH

Volatility persistence

0.9254
589.41***
γ

leverage

Additional response to negative shocks

0.9226
18.55***

Persistence:

0.984

Half-life:

44 days