V-Lab
Egyptian Pound APARCH Volatility Analysis
Volatility prediction for Monday, August 31st, 2026
1 Day
5.73%
increased by 0.30%
1 Week
5.76%
increased by 0.33%
1 Month
5.87%
increased by 0.44%
Analysis last updated: Sunday, August 30, 2026 at 02:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 30, 2003 to Aug 28, 2026Model Insight
Volatility shocks decay with a half-life of 38 trading days, meaning a shock loses half its impact after approximately 38 days. The volatility power δ = 1.77 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 | 0.0038 | 2.02** |
α ARCH Response to squared shocks | 0.1348 | 5.05*** |
β GARCH Volatility persistence | 0.8572 | 29.98*** |
γ leverage Additional response to negative shocks | -0.0271 | -0.26 |
δ power Transformation power | 1.7658 | 4.61*** |
Persistence:
0.982
Half-life:
38 days
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