V-Lab
Coca-Cola Co/The APARCH Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
18.69%
1 Week
18.83%
1 Month
19.38%
Analysis last updated: Friday, August 14, 2026 at 10:39 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 14, 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 = 1.31 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 203% more than positive returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0171 | 18.20*** |
α ARCH Response to squared shocks | 0.0602 | 24.15*** |
β GARCH Volatility persistence | 0.9398 | 410.93*** |
γ leverage Additional response to negative shocks | 0.3983 | 18.06*** |
δ power Transformation power | 1.3127 | 31.83*** |
Persistence:
0.991
Half-life:
79 days
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