V-Lab
Australian Dollar APARCH Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
5.67%
1 Week
5.74%
1 Month
6.01%
Analysis last updated: Tuesday, September 8, 2026 at 07:01 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 4, 2026Model Insight
With persistence 0.992, 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 = 1.70 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 138% more than positive returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0032 | 3.92*** |
| αARCH | 0.0333 | 5.36*** |
| βGARCH | 0.9611 | 180.67*** |
| γleverage | 0.2488 | 3.69*** |
| δpower | 1.7049 | 7.69*** |
0.992
Persistence92d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0032 | 3.92*** |
α ARCH Response to squared shocks | 0.0333 | 5.36*** |
β GARCH Volatility persistence | 0.9611 | 180.67*** |
γ leverage Additional response to negative shocks | 0.2488 | 3.69*** |
δ power Transformation power | 1.7049 | 7.69*** |
Persistence:
0.992
Half-life:
92 days
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