V-Lab
Ibovespa Brasil Sao Paulo Stock Exchange Index APARCH Volatility Analysis
Volatility prediction for Wednesday, October 7th, 2026
1 Day
35.36%
1 Week
35.34%
1 Month
35.29%
Analysis last updated: Tuesday, October 6, 2026 at 09:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 2, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 196 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 3.00 sits above 2, so large shocks influence volatility more than quadratically, dominating the response more than in standard GARCH.
Leverage: Negative returns increase volatility 119% more than positive returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0326 | 2.03** |
| αARCH | 0.0387 | 1.58 |
| βGARCH | 0.9315 | 160.89*** |
| γleverage | 0.1301 | 3.67*** |
| δpower | 3.0000 | 2.76*** |
0.996
Persistence196d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0326 | 2.03** |
α ARCH Response to squared shocks | 0.0387 | 1.58 |
β GARCH Volatility persistence | 0.9315 | 160.89*** |
γ leverage Additional response to negative shocks | 0.1301 | 3.67*** |
δ power Transformation power | 3.0000 | 2.76*** |
Persistence:
0.996
Half-life:
196 days
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