V-Lab
KBR Inc APARCH Volatility Analysis
Volatility prediction for Wednesday, September 16th, 2026
1 Day
29.08%
1 Week
29.83%
1 Month
32.45%
Analysis last updated: Tuesday, September 15, 2026 at 09:29 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 16, 2006 to Sep 11, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 218% more than equivalent positive returns. The volatility power δ = 1.05 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 | 0.0687 | 3.64*** |
| αARCH | 0.0713 | 5.22*** |
| βGARCH | 0.9199 | 64.35*** |
| γleverage | 0.5023 | 3.66*** |
| δpower | 1.0477 | 6.38*** |
0.977
Persistence30d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0687 | 3.64*** |
α ARCH Response to squared shocks | 0.0713 | 5.22*** |
β GARCH Volatility persistence | 0.9199 | 64.35*** |
γ leverage Additional response to negative shocks | 0.5023 | 3.66*** |
δ power Transformation power | 1.0477 | 6.38*** |
Persistence:
0.977
Half-life:
30 days
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