V-Lab
Chilean Peso APARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
9.31%
1 Week
9.33%
1 Month
9.43%
Analysis last updated: Sunday, September 13, 2026 at 01:40 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1992 to Sep 11, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 212 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.79 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0022 | 3.06*** |
| αARCH | 0.0508 | 6.14*** |
| βGARCH | 0.9492 | 133.90*** |
| γleverage | -0.0740 | -1.13 |
| δpower | 1.7927 | 10.66*** |
0.997
Persistence212d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0022 | 3.06*** |
α ARCH Response to squared shocks | 0.0508 | 6.14*** |
β GARCH Volatility persistence | 0.9492 | 133.90*** |
γ leverage Additional response to negative shocks | -0.0740 | -1.13 |
δ power Transformation power | 1.7927 | 10.66*** |
Persistence:
0.997
Half-life:
212 days
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