National Stock Exchange CNX Nifty Index APARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
13.53%
1 Week
13.90%
1 Month
15.24%
Analysis last updated: Monday, July 20, 2026 at 12:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 2, 1990 to Jul 17, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 85 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.70 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 97% more than positive returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0240 | 23.85*** |
α ARCH Response to squared shocks | 0.1099 | 37.28*** |
β GARCH Volatility persistence | 0.8901 | 379.59*** |
γ leverage Additional response to negative shocks | 0.1977 | 17.07*** |
δ power Transformation power | 1.6970 | 33.71*** |
Persistence:
0.992
Half-life:
85 days
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