CBOE Realized Volatility Index APARCH Volatility Analysis
Volatility prediction for Monday, July 13th, 2026
1 Day
36.34%
decreased by 0.56%
1 Week
39.37%
increased by 2.47%
1 Month
41.99%
increased by 5.09%
Analysis last updated: Monday, July 13, 2026 at 01:01 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 1, 2012 to Jul 10, 2026Boundary Parameters
Model 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 = 1.21 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 | 1.0000 | 5.81*** |
α ARCH Response to squared shocks | 0.1727 | 10.07*** |
β GARCH Volatility persistence | 0.5454 | 15.12*** |
γ leverage Additional response to negative shocks | 0.8478 | 10.11*** |
δ power Transformation power | 1.2092 | 8.41*** |
Persistence:
0.700
Half-life:
2 days
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