V-Lab
Taisei Corp APARCH Volatility Analysis
Volatility prediction for Monday, September 7th, 2026
1 Day
35.68%
1 Week
36.05%
1 Month
37.32%
Analysis last updated: Saturday, September 5, 2026 at 10:45 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Sep 4, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 83% more than equivalent positive returns. The volatility power δ = 1.31 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0857 | 3.52*** |
| αARCH | 0.1081 | 9.51*** |
| βGARCH | 0.8869 | 64.81*** |
| γleverage | 0.2259 | 3.16*** |
| δpower | 1.3131 | 7.76*** |
0.977
Persistence30d
Half-lifeAPARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0857 | 3.52*** |
α ARCH Response to squared shocks | 0.1081 | 9.51*** |
β GARCH Volatility persistence | 0.8869 | 64.81*** |
γ leverage Additional response to negative shocks | 0.2259 | 3.16*** |
δ power Transformation power | 1.3131 | 7.76*** |
Persistence:
0.977
Half-life:
30 days
Other APARCH Analyses on International Equities