V-Lab
Henry Hub Natural Gas APARCH Volatility Analysis
Volatility prediction for Thursday, September 10th, 2026
1 Day
39.21%
1 Week
39.93%
1 Month
42.56%
Analysis last updated: Thursday, September 10, 2026 at 05:16 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 to Sep 4, 2026Model Insight
Volatility shocks decay with a half-life of 59 trading days, meaning a shock loses half its impact after approximately 59 days. The volatility power δ = 1.52 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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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1027 | 3.01*** |
| αARCH | 0.0868 | 9.58*** |
| βGARCH | 0.9132 | 106.69*** |
| γleverage | -0.0402 | -0.47 |
| δpower | 1.5227 | 7.79*** |
0.988
Persistence59d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1027 | 3.01*** |
α ARCH Response to squared shocks | 0.0868 | 9.58*** |
β GARCH Volatility persistence | 0.9132 | 106.69*** |
γ leverage Additional response to negative shocks | -0.0402 | -0.47 |
δ power Transformation power | 1.5227 | 7.79*** |
Persistence:
0.988
Half-life:
59 days
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