iShares Nasdaq Premium Income Active ETF APARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Thursday, July 16th, 2026
1 Day
27.64%
1 Week
27.81%
1 Month
28.48%
Analysis last updated: Thursday, July 16, 2026 at 02:19 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 3, 2025 to Jul 10, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 778416 trading days (~3089.0 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.55 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0112 | 1.56 |
α ARCH Response to squared shocks | 0.0010 | 0.00 |
β GARCH Volatility persistence | 0.9987 | 47.13*** |
γ leverage Additional response to negative shocks | 1.0000 | 0.00 |
δ power Transformation power | 1.5494 | 7.97*** |
Persistence:
1.000
Half-life:
778416 days
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