V-Lab
Capgemini Se AGARCH Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
36.41%
decreased by 0.20%
1 Week
36.23%
decreased by 0.38%
1 Month
35.64%
decreased by 0.97%
Analysis last updated: Tuesday, September 8, 2026 at 08:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 16, 2004 to Sep 4, 2026Model Insight
The news-impact curve is shifted (γ = 1.23) 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 | 0.0352 | 1.13 |
| αARCH | 0.0527 | 10.62*** |
| βGARCH | 0.9205 | 146.84*** |
| γleverage | 1.2328 | 5.02*** |
0.973
Persistence26d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0352 | 1.13 |
α ARCH Response to squared shocks | 0.0527 | 10.62*** |
β GARCH Volatility persistence | 0.9205 | 146.84*** |
γ leverage Additional response to negative shocks | 1.2328 | 5.02*** |
Persistence:
0.973
Half-life:
26 days
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