V-Lab
CAC 40 Index AGARCH Volatility Analysis
Volatility prediction for Monday, September 7th, 2026
1 Day
15.17%
decreased by 0.41%
1 Week
15.52%
decreased by 0.06%
1 Month
16.64%
increased by 1.06%
Analysis last updated: Friday, September 4, 2026 at 04:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 4, 2026Model Insight
The news-impact curve is shifted (γ = 0.75) 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
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Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0000 | 0.00 |
| αARCH | 0.0876 | 11.20*** |
| βGARCH | 0.8824 | 91.97*** |
| γleverage | 0.7530 | 7.00*** |
0.970
Persistence23d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 0.00 |
α ARCH Response to squared shocks | 0.0876 | 11.20*** |
β GARCH Volatility persistence | 0.8824 | 91.97*** |
γ leverage Additional response to negative shocks | 0.7530 | 7.00*** |
Persistence:
0.970
Half-life:
23 days
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