LANXESS AG AGARCH Volatility Analysis
Volatility prediction for Wednesday, October 14th, 2026
1 Day
40.85%
decreased by 1.27%
1 Week
40.71%
decreased by 1.41%
1 Month
40.22%
decreased by 1.90%
Analysis last updated: Wednesday, October 14, 2026 at 07:52 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 31, 2005 to Oct 9, 2026Model Insight
The news-impact curve is shifted (γ = 1.40) 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
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Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0235 | 0.57 |
| αARCH | 0.0623 | 8.51*** |
| βGARCH | 0.9121 | 109.75*** |
| γleverage | 1.3976 | 5.13*** |
0.974
Persistence27d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0235 | 0.57 |
α ARCH Response to squared shocks | 0.0623 | 8.51*** |
β GARCH Volatility persistence | 0.9121 | 109.75*** |
γ leverage Additional response to negative shocks | 1.3976 | 5.13*** |
Persistence:
0.974
Half-life:
27 days
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