V-Lab
Leverage Shares 2X Long NIO Daily ETF APARCH Volatility Analysis
Volatility prediction for Wednesday, October 7th, 2026
1 Day
68.04%
increased by 2.48%
1 Week
69.36%
increased by 3.80%
1 Month
74.02%
increased by 8.46%
Analysis last updated: Tuesday, October 6, 2026 at 09:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 18, 2025 to Oct 2, 2026Model Insight
Volatility shocks decay with a half-life of 43 trading days, meaning a shock loses half its impact after approximately 43 days. The volatility power δ = 1.46 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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Shock decay: Shocks decay with a 43-day half-lifeδ = 1.46 · sub-quadratic power
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.2555 | 0.34 |
| αARCH | 0.0268 | 0.00 |
| βGARCH | 0.9524 | 23.54*** |
| γleverage | -1.0000 | 0.00 |
| δpower | 1.4635 | 1.47 |
0.984
Persistence43d
Half-lifeσ
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2555 | 0.34 |
α ARCH Response to squared shocks | 0.0268 | 0.00 |
β GARCH Volatility persistence | 0.9524 | 23.54*** |
γ leverage Additional response to negative shocks | -1.0000 | 0.00 |
δ power Transformation power | 1.4635 | 1.47 |
Persistence:
0.984
Half-life:
43 days
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