V-Lab
CVS Health Corp APARCH Volatility Analysis
Volatility prediction for Thursday, September 17th, 2026
1 Day
29.72%
1 Week
29.93%
1 Month
30.72%
Analysis last updated: Thursday, September 17, 2026 at 04:23 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 11, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 72 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.07 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 338% more than positive returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0261 | 3.61*** |
| αARCH | 0.0513 | 3.94*** |
| βGARCH | 0.9487 | 78.32*** |
| γleverage | 0.5978 | 3.30*** |
| δpower | 1.0702 | 7.95*** |
0.990
Persistence72d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0261 | 3.61*** |
α ARCH Response to squared shocks | 0.0513 | 3.94*** |
β GARCH Volatility persistence | 0.9487 | 78.32*** |
γ leverage Additional response to negative shocks | 0.5978 | 3.30*** |
δ power Transformation power | 1.0702 | 7.95*** |
Persistence:
0.990
Half-life:
72 days
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