V-Lab
Bleichroeder Acquisition Corp II AGARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
6.42%
increased by 0.41%
1 Week
7.96%
increased by 1.95%
1 Month
8.50%
increased by 2.49%
Analysis last updated: Friday, July 24, 2026 at 09:31 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 8, 2026 to Jul 24, 2026Model Insight
The news-impact curve is shifted (γ = -0.62) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0789 | 4.79*** |
α ARCH Response to squared shocks | 0.2349 | 8.22*** |
β GARCH Volatility persistence | 0.2003 | 4.50*** |
γ leverage Additional response to negative shocks | -0.6175 | -15.53*** |
Persistence:
0.435
Half-life:
1 days
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