E.ON SE APARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
24.27%
decreased by 1.63%
1 Week
24.49%
decreased by 1.41%
1 Month
25.27%
decreased by 0.63%
Analysis last updated: Tuesday, July 21, 2026 at 06:39 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 105% more than equivalent positive returns. The volatility power δ = 0.96 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 | 0.0380 | 24.75*** |
α ARCH Response to squared shocks | 0.0821 | 37.56*** |
β GARCH Volatility persistence | 0.9140 | 396.17*** |
γ leverage Additional response to negative shocks | 0.3576 | 15.71*** |
δ power Transformation power | 0.9569 | 29.10*** |
Persistence:
0.979
Half-life:
33 days
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