DHL Group EGARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
23.63%
decreased by 0.62%
1 Week
23.85%
decreased by 0.40%
1 Month
24.60%
increased by 0.35%
Analysis last updated: Thursday, July 16, 2026 at 06:40 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 17, 2000 to Jul 10, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 180% more than equivalent positive returns.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0266 | 10.32*** |
α ARCH Response to squared shocks | 0.1193 | 25.16*** |
β GARCH Volatility persistence | 0.9781 | 822.59*** |
γ leverage Additional response to negative shocks | -0.0566 | -16.53*** |
Persistence:
0.978
Half-life:
31 days
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