V-Lab
Japanese Yen APARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
8.78%
1 Week
8.83%
1 Month
9.01%
Analysis last updated: Friday, September 11, 2026 at 08:39 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 11, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 79 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.22 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 89% more than positive returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0059 | 4.11*** |
| αARCH | 0.0495 | 8.51*** |
| βGARCH | 0.9505 | 169.88*** |
| γleverage | 0.2549 | 2.98*** |
| δpower | 1.2189 | 7.82*** |
0.991
Persistence79d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0059 | 4.11*** |
α ARCH Response to squared shocks | 0.0495 | 8.51*** |
β GARCH Volatility persistence | 0.9505 | 169.88*** |
γ leverage Additional response to negative shocks | 0.2549 | 2.98*** |
δ power Transformation power | 1.2189 | 7.82*** |
Persistence:
0.991
Half-life:
79 days
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