V-Lab
Obsidian Therapeutics Inc APARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
116.36%
1 Week
120.53%
1 Month
127.19%
Analysis last updated: Friday, September 11, 2026 at 11:15 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 7, 2019 to Sep 11, 2026Model Insight
Volatility shocks decay with a half-life of 4 trading days, meaning a shock loses half its impact after approximately 4 days. The volatility power δ = 0.86 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 | 1.0000 | 0.51 |
| αARCH | 0.1030 | 1.83* |
| βGARCH | 0.7576 | 5.58*** |
| γleverage | 0.3777 | 1.16 |
| δpower | 0.8630 | 0.97 |
0.839
Persistence4d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0000 | 0.51 |
α ARCH Response to squared shocks | 0.1030 | 1.83* |
β GARCH Volatility persistence | 0.7576 | 5.58*** |
γ leverage Additional response to negative shocks | 0.3777 | 1.16 |
δ power Transformation power | 0.8630 | 0.97 |
Persistence:
0.839
Half-life:
4 days
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