RWE AG AGARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
25.22%
increased by 0.24%
1 Week
25.36%
increased by 0.38%
1 Month
25.86%
increased by 0.88%
Analysis last updated: Tuesday, July 21, 2026 at 06:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
The news-impact curve is shifted (γ = 0.47) 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0396 | 16.27*** |
α ARCH Response to squared shocks | 0.0697 | 39.71*** |
β GARCH Volatility persistence | 0.9141 | 532.06*** |
γ leverage Additional response to negative shocks | 0.4739 | 15.28*** |
Persistence:
0.984
Half-life:
42 days
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