V-Lab
Brazilian Real APARCH Volatility Analysis
Volatility prediction for Monday, September 7th, 2026
1 Day
8.24%
1 Week
8.42%
1 Month
9.10%
Analysis last updated: Friday, September 4, 2026 at 08:08 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1998 to Sep 4, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 83 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.48 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 154% more than negative returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0094 | 5.71*** |
α ARCH Response to squared shocks | 0.0719 | 8.66*** |
β GARCH Volatility persistence | 0.9281 | 145.00*** |
γ leverage Additional response to negative shocks | -0.3042 | -5.09*** |
δ power Transformation power | 1.4813 | 7.71*** |
Persistence:
0.992
Half-life:
83 days
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