Siemens AG APARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
30.73%
decreased by 0.16%
1 Week
30.77%
decreased by 0.12%
1 Month
30.95%
increased by 0.06%
Analysis last updated: Thursday, July 16, 2026 at 06:43 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 10, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 123% more than equivalent positive returns. The volatility power δ = 1.07 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
σ
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0267 | 17.45*** |
α ARCH Response to squared shocks | 0.0636 | 31.38*** |
β GARCH Volatility persistence | 0.9364 | 486.42*** |
γ leverage Additional response to negative shocks | 0.3603 | 18.16*** |
δ power Transformation power | 1.0658 | 26.09*** |
Persistence:
0.988
Half-life:
56 days
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