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V-Lab

GCM Corp Ltd APARCH Volatility Analysis

Volatility prediction for Monday, August 10th, 2026

1 Day

122.99%

decreased by 1.55%

1 Week

123.26%

decreased by 1.28%

1 Month

124.32%

decreased by 0.22%

Analysis last updated: Saturday, August 8, 2026 at 05:58 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 7, 2026
Illiquid Asset

Model Insight

With persistence 0.997, volatility shocks have a half-life of 219 trading days (~0.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Leverage: Negative returns increase volatility 133% more than positive returns

σ

APARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.2636
3.08***
α

ARCH

Response to squared shocks

0.0254
10.02***
β

GARCH

Volatility persistence

0.9712
287.76***
γ

leverage

Additional response to negative shocks

0.2177
7.74***
δ

power

Transformation power

1.9104
23.11***

Persistence:

0.997

Half-life:

219 days