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V-Lab

Fresenius SE & Co KGaA GJR-GARCH Volatility Analysis

Volatility prediction for Monday, August 24th, 2026

1 Day

22.08%

decreased by 0.33%

1 Week

22.34%

decreased by 0.07%

1 Month

23.28%

increased by 0.87%

Analysis last updated: Saturday, August 22, 2026 at 08:38 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Fresenius SE & Co KGaA GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Aug 7, 1992 to Aug 21, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 188% more than equivalent positive returns.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0466
14.12***
α

ARCH

Response to squared shocks

0.0251
11.78***
β

GARCH

Volatility persistence

0.9392
398.49***
γ

leverage

Additional response to negative shocks

0.0473
10.00***

Persistence:

0.988

Half-life:

57 days