Global X Nasdaq-100 Income Edge ETF APARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
24.04%
increased by 4.83%
1 Week
23.48%
increased by 4.27%
1 Month
21.98%
increased by 2.77%
Analysis last updated: Friday, October 16, 2026 at 10:38 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 18, 2026 to Oct 16, 2026Boundary Parameters
Model Insight
Volatility shocks decay with a half-life of 8 trading days, meaning a shock loses half its impact after approximately 8 days. The volatility power δ = 3.00 sits above 2, so large shocks influence volatility more than quadratically, dominating the response more than in standard GARCH.
σ
APARCH Model
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Shock decay: Shocks decay with a 8-day half-lifeδ = 3.00 · super-quadratic power
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1540 | 0.84 |
| αARCH | 0.0139 | 0.00 |
| βGARCH | 0.8301 | 7.33*** |
| γleverage | 1.0000 | 0.00 |
| δpower | 3.0000 | 1.38 |
0.919
Persistence8d
Half-lifeσ
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1540 | 0.84 |
α ARCH Response to squared shocks | 0.0139 | 0.00 |
β GARCH Volatility persistence | 0.8301 | 7.33*** |
γ leverage Additional response to negative shocks | 1.0000 | 0.00 |
δ power Transformation power | 3.0000 | 1.38 |
Persistence:
0.919
Half-life:
8 days
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