V-Lab
Gvs S P A AGARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
43.61%
increased by 6.27%
1 Week
43.17%
increased by 5.83%
1 Month
42.94%
increased by 5.60%
Analysis last updated: Saturday, August 8, 2026 at 10:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 19, 2020 to Aug 7, 2026Model Insight
The news-impact curve is shifted (γ = 0.53) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.3897 | 12.88*** |
α ARCH Response to squared shocks | 0.2234 | 11.30*** |
β GARCH Volatility persistence | 0.3029 | 6.91*** |
γ leverage Additional response to negative shocks | 0.5330 | 2.84*** |
Persistence:
0.526
Half-life:
1 days
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