V-Lab
iShares MSCI Japan ETF APARCH Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
19.17%
1 Week
19.33%
1 Month
19.92%
Analysis last updated: Friday, August 14, 2026 at 10:15 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 1, 1996 to Aug 14, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 77 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.59 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 168% more than positive returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0211 | 23.47*** |
α ARCH Response to squared shocks | 0.0856 | 37.91*** |
β GARCH Volatility persistence | 0.9125 | 457.84*** |
γ leverage Additional response to negative shocks | 0.2994 | 18.42*** |
δ power Transformation power | 1.5934 | 37.58*** |
Persistence:
0.991
Half-life:
77 days
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