V-Lab
Living REIT PLC APARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Thursday, October 1st, 2026
1 Day
21.27%
1 Week
21.33%
1 Month
21.58%
Analysis last updated: Thursday, October 1, 2026 at 10:14 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 8, 2017 to Sep 25, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 100230095 trading days (~397738.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.80 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 217% more than positive returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0044 | 1.98** |
| αARCH | 0.0513 | 3.66*** |
| βGARCH | 0.9487 | 83.09*** |
| γleverage | 0.3099 | 3.01*** |
| δpower | 1.8027 | 4.60*** |
1.000
Persistence100230095d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0044 | 1.98** |
α ARCH Response to squared shocks | 0.0513 | 3.66*** |
β GARCH Volatility persistence | 0.9487 | 83.09*** |
γ leverage Additional response to negative shocks | 0.3099 | 3.01*** |
δ power Transformation power | 1.8027 | 4.60*** |
Persistence:
1.000
Half-life:
100230095 days
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