LANXESS AG EGARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
41.62%
decreased by 0.49%
1 Week
41.60%
decreased by 0.51%
1 Month
41.52%
decreased by 0.59%
Analysis last updated: Saturday, July 18, 2026 at 10:59 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 31, 2005 to Jul 17, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0272 | 7.22*** |
α ARCH Response to squared shocks | 0.0940 | 24.03*** |
β GARCH Volatility persistence | 0.9856 | 796.77*** |
γ leverage Additional response to negative shocks | -0.0701 | -19.85*** |
Persistence:
0.986
Half-life:
48 days
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