V-Lab
Interactive Brokers Group Inc APARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
40.22%
1 Week
40.30%
1 Month
40.59%
Analysis last updated: Friday, September 11, 2026 at 10:58 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 4, 2007 to Sep 11, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 116% more than equivalent positive returns. The volatility power δ = 1.02 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0635 | 4.34*** |
| αARCH | 0.1016 | 7.30*** |
| βGARCH | 0.8952 | 63.08*** |
| γleverage | 0.3624 | 3.98*** |
| δpower | 1.0159 | 6.49*** |
0.976
Persistence29d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0635 | 4.34*** |
α ARCH Response to squared shocks | 0.1016 | 7.30*** |
β GARCH Volatility persistence | 0.8952 | 63.08*** |
γ leverage Additional response to negative shocks | 0.3624 | 3.98*** |
δ power Transformation power | 1.0159 | 6.49*** |
Persistence:
0.976
Half-life:
29 days
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