CBOE Realized Volatility Index APARCH Volatility Analysis
Volatility prediction for Thursday, October 15th, 2026
1 Day
38.91%
1 Week
40.66%
1 Month
42.21%
Analysis last updated: Thursday, October 15, 2026 at 11:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 1, 2012 to Oct 9, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible. The volatility power δ = 1.22 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0000 | 1.44 |
| αARCH | 0.1714 | 2.50** |
| βGARCH | 0.5478 | 3.80*** |
| γleverage | 0.8451 | 2.51** |
| δpower | 1.2228 | 2.11** |
0.703
Persistence2d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0000 | 1.44 |
α ARCH Response to squared shocks | 0.1714 | 2.50** |
β GARCH Volatility persistence | 0.5478 | 3.80*** |
γ leverage Additional response to negative shocks | 0.8451 | 2.51** |
δ power Transformation power | 1.2228 | 2.11** |
Persistence:
0.703
Half-life:
2 days
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