V-Lab
CID Holdco Inc APARCH Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
196.92%
increased by 21.99%
1 Week
177.97%
increased by 3.04%
1 Month
148.96%
decreased by 25.97%
Analysis last updated: Friday, August 14, 2026 at 09:40 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 23, 2025 to Aug 14, 2026Boundary Parameters
Model 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 = 0.86 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 | 1.0000 | 2.36** |
α ARCH Response to squared shocks | 0.1023 | 5.59*** |
β GARCH Volatility persistence | 0.7576 | 32.02*** |
γ leverage Additional response to negative shocks | 0.8026 | 2.87*** |
δ power Transformation power | 0.8611 | 5.32*** |
Persistence:
0.835
Half-life:
4 days
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