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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 7, 2026Model 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
| Parameter | Value | t-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
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