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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of GCM Corp Ltd APARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Nov 15, 2007 to Aug 14, 2026

Model 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

ParameterValuet-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