V-Lab
United States Dollar Index APARCH Volatility Analysis
Volatility prediction for Friday, September 4th, 2026
1 Day
5.49%
1 Week
5.53%
1 Month
5.68%
Analysis last updated: Friday, September 4, 2026 at 11:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Aug 27, 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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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0023 | 4.15*** |
α ARCH Response to squared shocks | 0.0434 | 10.35*** |
β GARCH Volatility persistence | 0.9566 | 203.06*** |
γ leverage Additional response to negative shocks | 0.0060 | 0.11 |
δ power Transformation power | 1.5124 | 8.25*** |
Persistence:
0.994
Half-life:
116 days
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