V-Lab
South Korean Won APARCH Volatility Analysis
Volatility prediction for Tuesday, September 15th, 2026
1 Day
6.07%
1 Week
6.11%
1 Month
6.26%
Analysis last updated: Monday, September 14, 2026 at 07:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1998 to Sep 11, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 98 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.84 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 | 4.64*** |
| αARCH | 0.0573 | 6.73*** |
| βGARCH | 0.9383 | 145.09*** |
| γleverage | -0.1090 | -2.08** |
| δpower | 1.8372 | 9.28*** |
0.993
Persistence98d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0022 | 4.64*** |
α ARCH Response to squared shocks | 0.0573 | 6.73*** |
β GARCH Volatility persistence | 0.9383 | 145.09*** |
γ leverage Additional response to negative shocks | -0.1090 | -2.08** |
δ power Transformation power | 1.8372 | 9.28*** |
Persistence:
0.993
Half-life:
98 days
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