Inversora Juramento Sa APARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
38.30%
1 Week
38.44%
1 Month
38.97%
Analysis last updated: Saturday, July 18, 2026 at 08:33 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 30, 2011 to Jul 17, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 125 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.77 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 72% more than negative returns
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0414 | 11.79*** |
α ARCH Response to squared shocks | 0.0336 | 17.19*** |
β GARCH Volatility persistence | 0.9629 | 612.91*** |
γ leverage Additional response to negative shocks | -0.1530 | -3.62*** |
δ power Transformation power | 1.7676 | 21.41*** |
Persistence:
0.994
Half-life:
125 days
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