Freehold Royalties Ltd APARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
19.93%
1 Week
20.28%
1 Month
21.57%
Analysis last updated: Saturday, October 17, 2026 at 09:05 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 20, 1997 to Oct 16, 2026Model 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 = 1.43 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 191% more than positive returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0282 | 4.16*** |
| αARCH | 0.0657 | 7.66*** |
| βGARCH | 0.9343 | 114.55*** |
| γleverage | 0.3577 | 4.33*** |
| δpower | 1.4257 | 6.06*** |
0.992
Persistence87d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0282 | 4.16*** |
α ARCH Response to squared shocks | 0.0657 | 7.66*** |
β GARCH Volatility persistence | 0.9343 | 114.55*** |
γ leverage Additional response to negative shocks | 0.3577 | 4.33*** |
δ power Transformation power | 1.4257 | 6.06*** |
Persistence:
0.992
Half-life:
87 days
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