V-Lab
Colombian Peso APARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, September 7th, 2026
1 Day
17.64%
1 Week
17.66%
1 Month
17.73%
Analysis last updated: Friday, September 4, 2026 at 08:08 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 20, 1992 to Sep 4, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 122470349 trading days (~485993.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: Positive returns increase volatility 50% more than negative returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0012 | 3.52*** |
α ARCH Response to squared shocks | 0.0635 | 9.33*** |
β GARCH Volatility persistence | 0.9365 | 176.97*** |
γ leverage Additional response to negative shocks | -0.1017 | -2.31** |
δ power Transformation power | 1.9727 | 11.73*** |
Persistence:
1.000
Half-life:
122470349 days
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