Lena Lighting SA APARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
22.04%
1 Week
22.43%
1 Month
23.90%
Analysis last updated: Sunday, July 19, 2026 at 02:53 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 6, 2005 to Jul 17, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 85 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.60 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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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0382 | 11.04*** |
α ARCH Response to squared shocks | 0.0393 | 8.03*** |
β GARCH Volatility persistence | 0.9573 | 235.78*** |
γ leverage Additional response to negative shocks | 0.0370 | 1.04 |
δ power Transformation power | 1.5988 | 16.03*** |
Persistence:
0.992
Half-life:
85 days
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