Centiel AG AGARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
82.14%
decreased by 5.06%
1 Week
82.14%
decreased by 5.06%
1 Month
82.11%
decreased by 5.09%
Analysis last updated: Tuesday, July 21, 2026 at 08:16 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 29, 2006 to Jul 17, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 185 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: negative returns raise volatility more
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0755 | 8.02*** |
α ARCH Response to squared shocks | 0.1126 | 35.92*** |
β GARCH Volatility persistence | 0.8837 | 342.91*** |
γ leverage Additional response to negative shocks | 0.4437 | 8.84*** |
Persistence:
0.996
Half-life:
185 days
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