RWE AG APARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
28.13%
increased by 1.12%
1 Week
28.27%
increased by 1.26%
1 Month
28.77%
increased by 1.76%
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
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 124% more than equivalent positive returns. The volatility power δ = 1.15 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
σ
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0321 | 22.03*** |
α ARCH Response to squared shocks | 0.0697 | 27.74*** |
β GARCH Volatility persistence | 0.9293 | 424.35*** |
γ leverage Additional response to negative shocks | 0.3366 | 17.67*** |
δ power Transformation power | 1.1493 | 35.06*** |
Persistence:
0.986
Half-life:
50 days
Other APARCH Analyses on International Equities