Hungarian Forint APARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
10.38%
1 Week
10.40%
1 Month
10.48%
Analysis last updated: Thursday, July 16, 2026 at 07:43 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 15, 1993 to Jul 10, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 197 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.67 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Inverse leverage: Positive returns increase volatility 24% more than negative returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0025 | 13.15*** |
α ARCH Response to squared shocks | 0.0358 | 23.94*** |
β GARCH Volatility persistence | 0.9642 | 741.15*** |
γ leverage Additional response to negative shocks | -0.0642 | -3.79*** |
δ power Transformation power | 1.6740 | 35.19*** |
Persistence:
0.996
Half-life:
197 days
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