Nordic Semiconductor APARCH Volatility Analysis

Model Insight

With persistence 0.991, volatility shocks have a half-life of 78 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.23 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.

Leverage: volatility responds almost entirely to negative shocks