NASDAQ 100 APARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
28.73%
increased by 1.34%
1 Week
28.70%
increased by 1.31%
1 Month
28.58%
increased by 1.19%
Analysis last updated: Saturday, July 18, 2026 at 12:05 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 17, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 295% more than equivalent positive returns. The volatility power δ = 1.09 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
σ
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0321 | 33.55*** |
α ARCH Response to squared shocks | 0.0918 | 46.51*** |
β GARCH Volatility persistence | 0.9077 | 511.93*** |
γ leverage Additional response to negative shocks | 0.5590 | 24.79*** |
δ power Transformation power | 1.0876 | 35.35*** |
Persistence:
0.983
Half-life:
39 days
Other APARCH Analyses on Equity Indices