South Korean Won APARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
8.31%
1 Week
8.31%
1 Month
8.33%
Analysis last updated: Friday, October 9, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1998 to Oct 9, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 101 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.83 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 50% more than negative returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0022 | 4.66*** |
| αARCH | 0.0578 | 6.77*** |
| βGARCH | 0.9382 | 145.55*** |
| γleverage | -0.1111 | -2.12** |
| δpower | 1.8276 | 9.28*** |
0.993
Persistence101d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0022 | 4.66*** |
α ARCH Response to squared shocks | 0.0578 | 6.77*** |
β GARCH Volatility persistence | 0.9382 | 145.55*** |
γ leverage Additional response to negative shocks | -0.1111 | -2.12** |
δ power Transformation power | 1.8276 | 9.28*** |
Persistence:
0.993
Half-life:
101 days
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