Norwegian Krone APARCH Volatility Analysis
Volatility prediction for Thursday, October 15th, 2026
1 Day
6.85%
1 Week
6.90%
1 Month
7.07%
Analysis last updated: Wednesday, October 14, 2026 at 08:15 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 9, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 134 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.82 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 | 0.0024 | 3.54*** |
| αARCH | 0.0319 | 6.44*** |
| βGARCH | 0.9648 | 192.62*** |
| γleverage | -0.0489 | -0.69 |
| δpower | 1.8199 | 8.35*** |
0.995
Persistence134d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0024 | 3.54*** |
α ARCH Response to squared shocks | 0.0319 | 6.44*** |
β GARCH Volatility persistence | 0.9648 | 192.62*** |
γ leverage Additional response to negative shocks | -0.0489 | -0.69 |
δ power Transformation power | 1.8199 | 8.35*** |
Persistence:
0.995
Half-life:
134 days
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