V-Lab
Croatia Zagreb Stock Exchange Crobex Index APARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, August 14th, 2026
1 Day
8.50%
1 Week
8.77%
1 Month
9.76%
Analysis last updated: Friday, August 14, 2026 at 10:22 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1997 to Jun 3, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Leverage: Negative returns increase volatility 37% more than positive returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0091 | 11.69*** |
α ARCH Response to squared shocks | 0.0921 | 22.11*** |
β GARCH Volatility persistence | 0.9079 | 334.78*** |
γ leverage Additional response to negative shocks | 0.0790 | 5.57*** |
δ power Transformation power | 1.9833 | 21.79*** |
Persistence:
1.000
Half-life:
-
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