ThyssenKrupp AG APARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
48.75%
1 Week
48.68%
1 Month
48.42%
Analysis last updated: Thursday, July 16, 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 10, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 73 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.32 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 116% more than positive returns
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0370 | 13.89*** |
α ARCH Response to squared shocks | 0.0597 | 25.89*** |
β GARCH Volatility persistence | 0.9403 | 458.68*** |
γ leverage Additional response to negative shocks | 0.2843 | 11.27*** |
δ power Transformation power | 1.3177 | 28.63*** |
Persistence:
0.991
Half-life:
73 days
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