V-Lab
Fresenius SE & Co KGaA GJR-GARCH Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
25.30%
decreased by 0.57%
1 Week
25.46%
decreased by 0.41%
1 Month
26.03%
increased by 0.16%
Analysis last updated: Friday, August 7, 2026 at 06:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 7, 1992 to Jul 31, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 185% more than equivalent positive returns.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0467 | 14.09*** |
α ARCH Response to squared shocks | 0.0255 | 11.85*** |
β GARCH Volatility persistence | 0.9389 | 395.67*** |
γ leverage Additional response to negative shocks | 0.0471 | 9.91*** |
Persistence:
0.988
Half-life:
57 days
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