V-Lab
Israeli Shekel APARCH Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
6.92%
1 Week
6.94%
1 Month
7.00%
Analysis last updated: Monday, October 5, 2026 at 07:09 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 8, 1991 to Oct 2, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 74 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.80 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 37% more than negative returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0026 | 4.00*** |
| αARCH | 0.0652 | 9.01*** |
| βGARCH | 0.9295 | 135.95*** |
| γleverage | -0.0875 | -1.97** |
| δpower | 1.7956 | 9.77*** |
0.991
Persistence74d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0026 | 4.00*** |
α ARCH Response to squared shocks | 0.0652 | 9.01*** |
β GARCH Volatility persistence | 0.9295 | 135.95*** |
γ leverage Additional response to negative shocks | -0.0875 | -1.97** |
δ power Transformation power | 1.7956 | 9.77*** |
Persistence:
0.991
Half-life:
74 days
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