Canadian Dollar APARCH Volatility Analysis
Volatility prediction for Thursday, October 15th, 2026
1 Day
3.94%
increased by 0.13%
1 Week
3.96%
increased by 0.15%
1 Month
4.03%
increased by 0.22%
Analysis last updated: Wednesday, October 14, 2026 at 08:13 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 9, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 170 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: Positive returns increase volatility 56% more than negative returns
σ
APARCH Model
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High persistence: persistence 0.996, shock half-life ~170 daysInverse leverage: Positive returns increase volatility 56% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0005 | 2.94*** |
| αARCH | 0.0292 | 6.60*** |
| βGARCH | 0.9662 | 240.89*** |
| γleverage | -0.1105 | -2.28** |
| δpower | 2.0170 | 10.44*** |
0.996
Persistence170d
Half-lifeσ
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0005 | 2.94*** |
α ARCH Response to squared shocks | 0.0292 | 6.60*** |
β GARCH Volatility persistence | 0.9662 | 240.89*** |
γ leverage Additional response to negative shocks | -0.1105 | -2.28** |
δ power Transformation power | 2.0170 | 10.44*** |
Persistence:
0.996
Half-life:
170 days
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