Beiersdorf AG APARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
23.57%
decreased by 0.49%
1 Week
23.81%
decreased by 0.25%
1 Month
24.70%
increased by 0.64%
Analysis last updated: Thursday, July 16, 2026 at 06:46 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 10, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 74% more than equivalent positive returns. The volatility power δ = 1.16 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
σ
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0293 | 17.99*** |
α ARCH Response to squared shocks | 0.0673 | 28.73*** |
β GARCH Volatility persistence | 0.9327 | 407.47*** |
γ leverage Additional response to negative shocks | 0.2354 | 8.52*** |
δ power Transformation power | 1.1565 | 28.78*** |
Persistence:
0.987
Half-life:
55 days
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