V-Lab
AGNT Inc APARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
66.00%
1 Week
66.13%
1 Month
66.63%
Analysis last updated: Friday, August 7, 2026 at 09:32 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 29, 2014 to Aug 7, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 132 trading days (~0.5 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.
Inverse leverage: Positive returns increase volatility 65% more than negative returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0636 | 4.13*** |
α ARCH Response to squared shocks | 0.0230 | 7.50*** |
β GARCH Volatility persistence | 0.9744 | 290.61*** |
γ leverage Additional response to negative shocks | -0.1582 | -2.90*** |
δ power Transformation power | 1.5707 | 18.39*** |
Persistence:
0.995
Half-life:
132 days
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