V-Lab
Fresenius Medical Care AG APARCH Volatility Analysis
Volatility prediction for Thursday, September 10th, 2026
1 Day
25.37%
1 Week
25.56%
1 Month
26.30%
Analysis last updated: Thursday, September 10, 2026 at 07:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 3, 1996 to Sep 4, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 90 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.01 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: volatility responds almost entirely to negative shocks
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0185 | 3.21*** |
| αARCH | 0.0382 | 6.13*** |
| βGARCH | 0.9618 | 150.75*** |
| γleverage | 0.6816 | 3.59*** |
| δpower | 1.0090 | 6.83*** |
0.992
Persistence90d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0185 | 3.21*** |
α ARCH Response to squared shocks | 0.0382 | 6.13*** |
β GARCH Volatility persistence | 0.9618 | 150.75*** |
γ leverage Additional response to negative shocks | 0.6816 | 3.59*** |
δ power Transformation power | 1.0090 | 6.83*** |
Persistence:
0.992
Half-life:
90 days
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