V-Lab
Leonardo SpA EGARCH Volatility Analysis
Volatility prediction for Wednesday, August 5th, 2026
1 Day
33.56%
increased by 1.15%
1 Week
34.05%
increased by 1.64%
1 Month
35.79%
increased by 3.38%
Analysis last updated: Wednesday, August 5, 2026 at 07:17 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 31, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 75% more than equivalent positive returns.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0539 | 21.92*** |
α ARCH Response to squared shocks | 0.1460 | 30.11*** |
β GARCH Volatility persistence | 0.9739 | 571.88*** |
γ leverage Additional response to negative shocks | -0.0400 | -9.72*** |
Persistence:
0.974
Half-life:
26 days
Other EGARCH Analyses on International Equities