Brazilian Real APARCH Volatility Analysis
Volatility prediction for Thursday, October 15th, 2026
1 Day
9.15%
1 Week
9.32%
1 Month
9.94%
Analysis last updated: Wednesday, October 14, 2026 at 08:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1998 to Oct 9, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 81 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.47 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 161% more than negative returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0098 | 5.67*** |
| αARCH | 0.0722 | 8.65*** |
| βGARCH | 0.9278 | 143.90*** |
| γleverage | -0.3161 | -5.12*** |
| δpower | 1.4653 | 7.65*** |
0.992
Persistence81d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0098 | 5.67*** |
α ARCH Response to squared shocks | 0.0722 | 8.65*** |
β GARCH Volatility persistence | 0.9278 | 143.90*** |
γ leverage Additional response to negative shocks | -0.3161 | -5.12*** |
δ power Transformation power | 1.4653 | 7.65*** |
Persistence:
0.992
Half-life:
81 days
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