Obayashi Corp APARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
29.99%
decreased by 0.21%
1 Week
30.64%
increased by 0.44%
1 Month
32.67%
increased by 2.47%
Analysis last updated: Thursday, July 16, 2026 at 07:26 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Jul 10, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 68% more than equivalent positive returns. The volatility power δ = 1.43 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 | 0.1289 | 17.68*** |
α ARCH Response to squared shocks | 0.1234 | 40.73*** |
β GARCH Volatility persistence | 0.8587 | 233.53*** |
γ leverage Additional response to negative shocks | 0.1799 | 12.68*** |
δ power Transformation power | 1.4319 | 33.19*** |
Persistence:
0.964
Half-life:
19 days
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