V-Lab
Czech Koruna APARCH Volatility Analysis
Volatility prediction for Thursday, September 24th, 2026
1 Day
5.48%
1 Week
5.54%
1 Month
5.76%
Analysis last updated: Wednesday, September 23, 2026 at 07:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 19, 1993 to Sep 18, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 175 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.67 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 | 0.0022 | 2.60*** |
| αARCH | 0.0392 | 5.24*** |
| βGARCH | 0.9608 | 138.76*** |
| γleverage | -0.0287 | -0.56 |
| δpower | 1.6712 | 10.47*** |
0.996
Persistence175d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0022 | 2.60*** |
α ARCH Response to squared shocks | 0.0392 | 5.24*** |
β GARCH Volatility persistence | 0.9608 | 138.76*** |
γ leverage Additional response to negative shocks | -0.0287 | -0.56 |
δ power Transformation power | 1.6712 | 10.47*** |
Persistence:
0.996
Half-life:
175 days
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