V-Lab
Merck KGaA APARCH Volatility Analysis
Volatility prediction for Monday, September 7th, 2026
1 Day
22.55%
1 Week
22.88%
1 Month
24.13%
Analysis last updated: Saturday, September 5, 2026 at 08:54 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 20, 1995 to Sep 4, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 73 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. 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.
Leverage: Negative returns increase volatility 75% more than positive returns
APARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0206 | 3.42*** |
| αARCH | 0.0445 | 6.82*** |
| βGARCH | 0.9555 | 134.86*** |
| γleverage | 0.3284 | 2.79*** |
| δpower | 0.8228 | 4.14*** |
0.991
Persistence73d
Half-lifeAPARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0206 | 3.42*** |
α ARCH Response to squared shocks | 0.0445 | 6.82*** |
β GARCH Volatility persistence | 0.9555 | 134.86*** |
γ leverage Additional response to negative shocks | 0.3284 | 2.79*** |
δ power Transformation power | 0.8228 | 4.14*** |
Persistence:
0.991
Half-life:
73 days
Other APARCH Analyses on International Equities