FTSE Bursa Malaysia KLCI Index - Kuala Lumpur Composite Index APARCH Volatility Analysis

Model Insight

With persistence 0.992, volatility shocks have a half-life of 87 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.70 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.

Leverage: Negative returns increase volatility 90% more than positive returns