Volkswagen AG Asy. Power MEM Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
31.09%
decreased by 0.14%
1 Week
30.51%
decreased by 0.72%
1 Month
28.97%
decreased by 2.26%
Analysis last updated: Tuesday, July 21, 2026 at 06:40 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 modest leverage effect: negative returns increase next-day volatility 27% more than equivalent positive returns. The volatility power δ = 1.29 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
μ
APMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1284 | 20.68*** |
α ARCH Response to squared shocks | 0.2188 | 45.41*** |
β GARCH Volatility persistence | 0.7524 | 136.81*** |
γ leverage Additional response to negative shocks | 0.0914 | 12.72*** |
δ power Transformation power | 1.2888 | 29.80*** |
Persistence:
0.933
Half-life:
10 days
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