Moreld AS APARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
35.30%
decreased by 1.58%
1 Week
36.49%
decreased by 0.39%
1 Month
38.93%
increased by 2.05%
Analysis last updated: Tuesday, July 21, 2026 at 06:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 27, 2024 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 6 trading days, meaning a shock loses half its impact after approximately 6 days. The volatility power δ = 0.50 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
σ
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1897 | 10.80*** |
α ARCH Response to squared shocks | 0.0848 | 7.76*** |
β GARCH Volatility persistence | 0.8129 | 42.73*** |
γ leverage Additional response to negative shocks | 0.2488 | 1.87* |
δ power Transformation power | 0.5000 | 8.26*** |
Persistence:
0.882
Half-life:
6 days
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