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V-Lab

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%

increased by 0.07%

1 Week

27.81%

increased by 0.24%

1 Month

28.48%

increased by 0.91%

Analysis last updated: Thursday, July 16, 2026 at 02:19 AM UTC

Date Range:

from

to

6M ·

All

graph of iShares Nasdaq Premium Income Active ETF APARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Dec 3, 2025 to Jul 10, 2026

Model 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.

σ

APARCH Model

Tap to view equation

ParameterValuet-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