V-Lab
Samhallsbygg I Nor APARCH Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
50.12%
1 Week
51.37%
1 Month
56.27%
Analysis last updated: Tuesday, September 8, 2026 at 08:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 3, 2023 to Sep 4, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 236 trading days (~0.9 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.
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0741 | 0.88 |
| αARCH | 0.0437 | 0.19 |
| βGARCH | 0.9555 | 38.05*** |
| γleverage | 1.0000 | 0.12 |
| δpower | 1.2219 | 4.83*** |
0.997
Persistence236d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0741 | 0.88 |
α ARCH Response to squared shocks | 0.0437 | 0.19 |
β GARCH Volatility persistence | 0.9555 | 38.05*** |
γ leverage Additional response to negative shocks | 1.0000 | 0.12 |
δ power Transformation power | 1.2219 | 4.83*** |
Persistence:
0.997
Half-life:
236 days
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