XTB S A APARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
61.40%
increased by 8.64%
1 Week
58.66%
increased by 5.90%
1 Month
54.90%
increased by 2.14%
Analysis last updated: Saturday, July 18, 2026 at 10:50 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 4, 2021 to Jul 17, 2026Boundary Parameters
Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 49% 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 | 0.3429 | 8.46*** |
α ARCH Response to squared shocks | 0.0907 | 9.61*** |
β GARCH Volatility persistence | 0.7387 | 25.95*** |
γ leverage Additional response to negative shocks | 0.3785 | 3.07*** |
δ power Transformation power | 0.5000 | 6.70*** |
Persistence:
0.812
Half-life:
3 days
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