LANXESS AG Asy. Power MEM Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
44.25%
1 Week
42.64%
1 Month
37.75%
Analysis last updated: Friday, October 16, 2026 at 07:08 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 31, 2005 to Oct 9, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 51% more than equivalent positive returns. The volatility power δ = 1.04 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APMEM Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0604 | 4.71*** |
| αARCH | 0.1352 | 12.25*** |
| βGARCH | 0.8511 | 71.45*** |
| γleverage | 0.1956 | 5.48*** |
| δpower | 1.0354 | 4.62*** |
0.959
Persistence17d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0604 | 4.71*** |
α ARCH Response to squared shocks | 0.1352 | 12.25*** |
β GARCH Volatility persistence | 0.8511 | 71.45*** |
γ leverage Additional response to negative shocks | 0.1956 | 5.48*** |
δ power Transformation power | 1.0354 | 4.62*** |
Persistence:
0.959
Half-life:
17 days
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