V-Lab
COMEX Gold APARCH Volatility Analysis
Volatility prediction for Thursday, September 10th, 2026
1 Day
23.44%
1 Week
23.38%
1 Month
23.17%
Analysis last updated: Thursday, September 10, 2026 at 05:16 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 to Sep 4, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 75 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.55 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 | 0.0132 | 2.95*** |
| αARCH | 0.0498 | 3.62*** |
| βGARCH | 0.9470 | 71.75*** |
| γleverage | -0.1666 | -1.24 |
| δpower | 1.5515 | 7.21*** |
0.991
Persistence75d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0132 | 2.95*** |
α ARCH Response to squared shocks | 0.0498 | 3.62*** |
β GARCH Volatility persistence | 0.9470 | 71.75*** |
γ leverage Additional response to negative shocks | -0.1666 | -1.24 |
δ power Transformation power | 1.5515 | 7.21*** |
Persistence:
0.991
Half-life:
75 days
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