V-Lab
AES Corp/VA APARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
11.85%
1 Week
12.59%
1 Month
15.31%
Analysis last updated: Friday, August 7, 2026 at 10:21 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 26, 1991 to Aug 7, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 92 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.40 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 197% more than positive returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0343 | 18.20*** |
α ARCH Response to squared shocks | 0.0593 | 28.36*** |
β GARCH Volatility persistence | 0.9407 | 464.76*** |
γ leverage Additional response to negative shocks | 0.3712 | 10.80*** |
δ power Transformation power | 1.3981 | 46.08*** |
Persistence:
0.993
Half-life:
92 days
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