V-Lab
Plural Logistica Fii Classe Un APARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
18.27%
1 Week
18.79%
1 Month
20.40%
Analysis last updated: Sunday, July 26, 2026 at 07:13 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 17, 2021 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 212% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets. The volatility power δ = 1.18 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 | 0.0638 | 9.24*** |
| αARCH | 0.0710 | 15.78*** |
| βGARCH | 0.9041 | 129.70*** |
| γleverage | -0.4490 | -7.90*** |
| δpower | 1.1765 | 11.23*** |
0.963
Persistence18d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0638 | 9.24*** |
α ARCH Response to squared shocks | 0.0710 | 15.78*** |
β GARCH Volatility persistence | 0.9041 | 129.70*** |
γ leverage Additional response to negative shocks | -0.4490 | -7.90*** |
δ power Transformation power | 1.1765 | 11.23*** |
Persistence:
0.963
Half-life:
18 days
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