V-Lab
GCM Corp Ltd APARCH Volatility Analysis
Volatility prediction for Wednesday, August 19th, 2026
1 Day
120.96%
increased by 5.03%
1 Week
121.24%
increased by 5.31%
1 Month
122.33%
increased by 6.40%
Analysis last updated: Wednesday, August 19, 2026 at 05:52 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 15, 2007 to Aug 14, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 211 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 130% more than positive returns
σ
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2694 | 3.11*** |
α ARCH Response to squared shocks | 0.0254 | 9.95*** |
β GARCH Volatility persistence | 0.9710 | 285.94*** |
γ leverage Additional response to negative shocks | 0.2143 | 7.66*** |
δ power Transformation power | 1.9163 | 23.18*** |
Persistence:
0.997
Half-life:
211 days
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