Centiel AG APARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
87.63%
1 Week
87.55%
1 Month
87.21%
Analysis last updated: Sunday, July 19, 2026 at 05:04 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 29, 2006 to Jul 17, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 205 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 2.30 sits above 2, so large shocks influence volatility more than quadratically, dominating the response more than in standard GARCH.
Leverage: Negative returns increase volatility 71% more than positive returns
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1149 | 8.59*** |
α ARCH Response to squared shocks | 0.1037 | 24.92*** |
β GARCH Volatility persistence | 0.8773 | 257.35*** |
γ leverage Additional response to negative shocks | 0.1154 | 6.77*** |
δ power Transformation power | 2.3026 | 26.54*** |
Persistence:
0.997
Half-life:
205 days
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