Bridger Aerospace GP HLD Inc APARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
70.72%
1 Week
70.72%
1 Month
70.73%
Analysis last updated: Tuesday, July 21, 2026 at 09:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 22, 2021 to Jul 17, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 901789 trading days (~3578.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. 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.
Leverage: Negative returns increase volatility 115% more than positive returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0014 | 3.18*** |
α ARCH Response to squared shocks | 0.0644 | 9.05*** |
β GARCH Volatility persistence | 0.8923 | 93.37*** |
γ leverage Additional response to negative shocks | 0.1271 | 4.27*** |
δ power Transformation power | 3.0000 | 13.82*** |
Persistence:
1.000
Half-life:
901789 days
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