Canara Robeco Asset Management Co Ltd/India APARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
33.09%
decreased by 1.49%
1 Week
35.45%
increased by 0.87%
1 Month
40.27%
increased by 5.69%
Analysis last updated: Tuesday, July 14, 2026 at 07:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 16, 2025 to Jul 10, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible. The volatility power δ = 1.72 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
σ
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5944 | 3.86*** |
α ARCH Response to squared shocks | 0.1418 | 5.14*** |
β GARCH Volatility persistence | 0.7257 | 29.58*** |
γ leverage Additional response to negative shocks | 0.7520 | 5.16*** |
δ power Transformation power | 1.7155 | 5.75*** |
Persistence:
0.900
Half-life:
7 days
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