Volkswagen AG EGARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
35.13%
decreased by 1.10%
1 Week
35.21%
decreased by 1.02%
1 Month
35.50%
decreased by 0.73%
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 notable leverage effect: negative returns increase next-day volatility 61% more than equivalent positive returns.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0464 | 18.71*** |
α ARCH Response to squared shocks | 0.1696 | 39.57*** |
β GARCH Volatility persistence | 0.9723 | 841.84*** |
γ leverage Additional response to negative shocks | -0.0398 | -7.67*** |
Persistence:
0.972
Half-life:
25 days
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