Valbiotis SA APARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
67.58%
decreased by 5.00%
1 Week
69.72%
decreased by 2.86%
1 Month
77.81%
increased by 5.23%
Analysis last updated: Tuesday, July 21, 2026 at 06:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 15, 2021 to Jul 17, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 95% more than equivalent positive returns. The volatility power δ = 0.50 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
σ
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0530 | 11.35*** |
α ARCH Response to squared shocks | 0.0819 | 9.00*** |
β GARCH Volatility persistence | 0.9181 | 201.28*** |
γ leverage Additional response to negative shocks | 0.5827 | 3.86*** |
δ power Transformation power | 0.5000 | 3.79*** |
Persistence:
0.982
Half-life:
39 days
Other APARCH Analyses on International Equities