Everforth Inc APARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
76.51%
1 Week
76.37%
1 Month
75.86%
Analysis last updated: Monday, July 20, 2026 at 09:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 22, 1992 to Jul 17, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 71 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 0.99 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: volatility responds almost entirely to negative shocks
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0418 | 13.33*** |
α ARCH Response to squared shocks | 0.0474 | 19.72*** |
β GARCH Volatility persistence | 0.9526 | 366.67*** |
γ leverage Additional response to negative shocks | 0.6851 | 15.25*** |
δ power Transformation power | 0.9899 | 19.61*** |
Persistence:
0.990
Half-life:
71 days
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