V-Lab
India NSE Volatility Index APARCH Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
126.25%
1 Week
124.34%
1 Month
118.30%
Analysis last updated: Friday, October 2, 2026 at 09:40 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 3, 2008 to Sep 24, 2026Model Insight
This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets. The volatility power δ = 1.47 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.5755 | 1.36 |
| αARCH | 0.0754 | 3.30*** |
| βGARCH | 0.8895 | 37.86*** |
| γleverage | -0.5650 | -2.14** |
| δpower | 1.4724 | 5.11*** |
0.961
Persistence18d
Half-lifeAPARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5755 | 1.36 |
α ARCH Response to squared shocks | 0.0754 | 3.30*** |
β GARCH Volatility persistence | 0.8895 | 37.86*** |
γ leverage Additional response to negative shocks | -0.5650 | -2.14** |
δ power Transformation power | 1.4724 | 5.11*** |
Persistence:
0.961
Half-life:
18 days
Other India NSE Volatility Index Analyses
Other APARCH Analyses on Volatility Indices