Egyptian Financial Group Hermes Stock Market Index APARCH Volatility Analysis
Volatility prediction for Sunday, July 12th, 2026
1 Day
18.32%
decreased by 0.95%
1 Week
18.88%
decreased by 0.39%
1 Month
20.57%
increased by 1.30%
Analysis last updated: Friday, July 10, 2026 at 08:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1995 to Jul 9, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 60% more than equivalent positive returns. The volatility power δ = 2.30 sits above 2, so large shocks influence volatility more than quadratically, dominating the response more than in standard GARCH.
σ
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0969 | 12.23*** |
α ARCH Response to squared shocks | 0.1429 | 19.39*** |
β GARCH Volatility persistence | 0.8043 | 104.89*** |
γ leverage Additional response to negative shocks | 0.1025 | 10.98*** |
δ power Transformation power | 2.2969 | 20.20*** |
Persistence:
0.968
Half-life:
21 days
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