Caracas Stock Exchange Stock Market Index APARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
42.51%
decreased by 0.38%
1 Week
42.28%
decreased by 0.61%
1 Month
41.43%
decreased by 1.46%
Analysis last updated: Thursday, July 16, 2026 at 05:45 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 25, 2015 to Jul 10, 2026Model Insight
Volatility shocks decay with a half-life of 42 trading days, meaning a shock loses half its impact after approximately 42 days. 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.
σ
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1577 | 3.69*** |
α ARCH Response to squared shocks | 0.0112 | 2.90*** |
β GARCH Volatility persistence | 0.9654 | 332.57*** |
γ leverage Additional response to negative shocks | -0.0669 | -1.10 |
δ power Transformation power | 3.0000 | 13.07*** |
Persistence:
0.984
Half-life:
42 days
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