V-Lab
United States Dollar Index APARCH Volatility Analysis
Volatility prediction for Friday, September 18th, 2026
1 Day
5.38%
1 Week
5.42%
1 Month
5.59%
Analysis last updated: Friday, September 18, 2026 at 10:08 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Sep 10, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 116 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.51 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 | 0.0023 | 4.15*** |
| αARCH | 0.0433 | 10.36*** |
| βGARCH | 0.9567 | 203.59*** |
| γleverage | 0.0061 | 0.11 |
| δpower | 1.5126 | 8.27*** |
0.994
Persistence116d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0023 | 4.15*** |
α ARCH Response to squared shocks | 0.0433 | 10.36*** |
β GARCH Volatility persistence | 0.9567 | 203.59*** |
γ leverage Additional response to negative shocks | 0.0061 | 0.11 |
δ power Transformation power | 1.5126 | 8.27*** |
Persistence:
0.994
Half-life:
116 days
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