OMX Stockholm 30 Index APARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
14.60%
decreased by 0.13%
1 Week
14.90%
increased by 0.17%
1 Month
15.96%
increased by 1.23%
Analysis last updated: Monday, July 20, 2026 at 04:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 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 | 29.04*** |
α ARCH Response to squared shocks | 0.0795 | 34.84*** |
β GARCH Volatility persistence | 0.9107 | 485.95*** |
γ leverage Additional response to negative shocks | 0.5225 | 22.38*** |
δ power Transformation power | 1.4109 | 44.81*** |
Persistence:
0.983
Half-life:
41 days
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