Motley Fool Innovative Growth Factor ETF APARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
17.59%
decreased by 0.54%
1 Week
17.61%
decreased by 0.52%
1 Month
17.66%
decreased by 0.47%
Analysis last updated: Monday, July 20, 2026 at 09:29 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 9, 2025 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 7 trading days, meaning a shock loses half its impact after approximately 7 days. The volatility power δ = 0.82 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
σ
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0976 | 5.57*** |
α ARCH Response to squared shocks | 0.0602 | 5.85*** |
β GARCH Volatility persistence | 0.8685 | 34.38*** |
γ leverage Additional response to negative shocks | 1.0000 | 22.10*** |
δ power Transformation power | 0.8226 | 5.60*** |
Persistence:
0.911
Half-life:
7 days
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