MSCI COLCAP Index APARCH Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
15.27%
1 Week
15.59%
1 Month
16.52%
Analysis last updated: Friday, October 2, 2026 at 09:39 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 16, 2008 to Sep 24, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 83% more than equivalent positive returns. The volatility power δ = 1.30 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 | 0.0588 | 7.01*** |
| αARCH | 0.1681 | 9.37*** |
| βGARCH | 0.8122 | 43.87*** |
| γleverage | 0.2287 | 4.29*** |
| δpower | 1.2970 | 7.37*** |
0.952
Persistence14d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0588 | 7.01*** |
α ARCH Response to squared shocks | 0.1681 | 9.37*** |
β GARCH Volatility persistence | 0.8122 | 43.87*** |
γ leverage Additional response to negative shocks | 0.2287 | 4.29*** |
δ power Transformation power | 1.2970 | 7.37*** |
Persistence:
0.952
Half-life:
14 days
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