V-Lab
Nexi S.P.A. AGARCH Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
44.07%
decreased by 0.05%
1 Week
44.07%
decreased by 0.05%
1 Month
44.08%
decreased by 0.04%
Analysis last updated: Saturday, August 15, 2026 at 08:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 6, 2019 to Aug 14, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 426 trading days (~1.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: negative returns raise volatility more
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0130 | 5.47*** |
α ARCH Response to squared shocks | 0.0023 | 1.95* |
β GARCH Volatility persistence | 0.9961 | 1,238.96*** |
γ leverage Additional response to negative shocks | 0.0001 | 15.71*** |
Persistence:
0.998
Half-life:
426 days
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