Croatian Kuna APARCH Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
4.32%
decreased by 0.03%
1 Week
4.33%
decreased by 0.02%
1 Month
4.40%
increased by 0.05%
Analysis last updated: Tuesday, October 20, 2026 at 08:50 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 9, 1996 to Oct 16, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 518 trading days (~2.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: Positive returns increase volatility 60% more than negative returns
σ
APARCH Model
Tap to view equation
High persistence: persistence 0.999, shock half-life ~518 daysInverse leverage: Positive returns increase volatility 60% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0004 | 2.15** |
| αARCH | 0.0226 | 6.31*** |
| βGARCH | 0.9757 | 333.11*** |
| γleverage | -0.1172 | -2.10** |
| δpower | 2.0031 | 9.19*** |
0.999
Persistence518d
Half-lifeσ
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0004 | 2.15** |
α ARCH Response to squared shocks | 0.0226 | 6.31*** |
β GARCH Volatility persistence | 0.9757 | 333.11*** |
γ leverage Additional response to negative shocks | -0.1172 | -2.10** |
δ power Transformation power | 2.0031 | 9.19*** |
Persistence:
0.999
Half-life:
518 days
Other Croatian Kuna Analyses
Other APARCH Analyses on Currencies