IBEX 35 Index APARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
14.72%
decreased by 0.70%
1 Week
15.08%
decreased by 0.34%
1 Month
16.31%
increased by 0.89%
Analysis last updated: Monday, July 20, 2026 at 04:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 350% more than equivalent positive returns. The volatility power δ = 1.26 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
σ
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0365 | 32.04*** |
α ARCH Response to squared shocks | 0.0861 | 24.94*** |
β GARCH Volatility persistence | 0.9016 | 373.17*** |
γ leverage Additional response to negative shocks | 0.5335 | 20.30*** |
δ power Transformation power | 1.2641 | 38.68*** |
Persistence:
0.976
Half-life:
28 days
Other APARCH Analyses on Equity Indices