V-Lab
Hallmark Financial Services Inc APARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, July 29th, 2026
1 Day
2,777.60%
1 Week
2,777.60%
1 Month
2,777.61%
Analysis last updated: Wednesday, July 29, 2026 at 09:11 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 16, 1990 to Jun 12, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 838377 trading days (~3326.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 2.27 sits above 2, so large shocks influence volatility more than quadratically, dominating the response more than in standard GARCH.
Leverage: Negative returns increase volatility 52% more than positive returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0333 | 4.98*** |
α ARCH Response to squared shocks | 0.0384 | 15.46*** |
β GARCH Volatility persistence | 0.9567 | 453.65*** |
γ leverage Additional response to negative shocks | 0.0915 | 3.34*** |
δ power Transformation power | 2.2711 | 19.17*** |
Persistence:
1.000
Half-life:
838377 days
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