AGL Energy Ltd APARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
22.87%
1 Week
22.90%
1 Month
23.03%
Analysis last updated: Tuesday, July 21, 2026 at 05:54 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 17, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 293 trading days (~1.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.57 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 31% more than positive returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0061 | 10.26*** |
α ARCH Response to squared shocks | 0.0194 | 16.23*** |
β GARCH Volatility persistence | 0.9806 | 855.65*** |
γ leverage Additional response to negative shocks | 0.0865 | 3.55*** |
δ power Transformation power | 1.5721 | 28.12*** |
Persistence:
0.998
Half-life:
293 days
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