OMX Stockholm 30 Index APARCH Volatility Analysis
Volatility prediction for Thursday, July 9th, 2026
1 Day
18.56%
increased by 3.36%
1 Week
18.71%
increased by 3.51%
1 Month
19.23%
increased by 4.03%
Analysis last updated: Wednesday, July 8, 2026 at 05:44 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 3, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible. The volatility power δ = 1.41 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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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0281 | 29.05*** |
α ARCH Response to squared shocks | 0.0796 | 34.83*** |
β GARCH Volatility persistence | 0.9106 | 485.92*** |
γ leverage Additional response to negative shocks | 0.5228 | 22.39*** |
δ power Transformation power | 1.4108 | 44.83*** |
Persistence:
0.983
Half-life:
41 days
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