V-Lab
Hartford Alpha Capture Value ETF APARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
10.54%
decreased by 0.32%
1 Week
10.97%
increased by 0.11%
1 Month
11.46%
increased by 0.60%
Analysis last updated: Saturday, September 12, 2026 at 02:08 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 16, 2023 to Sep 11, 2026Boundary Parameters
Hessian SE
Model Insight
Volatility shocks decay with a half-life of 3 trading days, meaning a shock loses half its impact after approximately 3 days. The volatility power δ = 3.00 sits above 2, so large shocks influence volatility more than quadratically, dominating the response more than in standard GARCH.
σ
APARCH Model
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Shock decay: Shocks decay with a 3-day half-lifeδ = 3.00 · super-quadratic power
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0868 | 0.53 |
| αARCH | 0.0222 | 0.07 |
| βGARCH | 0.6421 | 0.99 |
| γleverage | 1.0000 | 0.10 |
| δpower | 3.0000 | 6.66*** |
0.784
Persistence3d
Half-lifeσ
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0868 | 0.53 |
α ARCH Response to squared shocks | 0.0222 | 0.07 |
β GARCH Volatility persistence | 0.6421 | 0.99 |
γ leverage Additional response to negative shocks | 1.0000 | 0.10 |
δ power Transformation power | 3.0000 | 6.66*** |
Persistence:
0.784
Half-life:
3 days
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