V-Lab
Big Sky Industrial Inc APARCH Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
88.51%
increased by 0.04%
1 Week
89.24%
increased by 0.77%
1 Month
91.80%
increased by 3.33%
Analysis last updated: Friday, August 14, 2026 at 09:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Aug 14, 2026Model Insight
Volatility shocks decay with a half-life of 40 trading days, meaning a shock loses half its impact after approximately 40 days. The volatility power δ = 1.67 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
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4276 | 9.57*** |
α ARCH Response to squared shocks | 0.1071 | 29.50*** |
β GARCH Volatility persistence | 0.8865 | 239.09*** |
γ leverage Additional response to negative shocks | -0.0011 | -0.05 |
δ power Transformation power | 1.6738 | 29.85*** |
Persistence:
0.983
Half-life:
40 days
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