Princes Group PLC APARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
28.05%
decreased by 0.22%
1 Week
31.79%
increased by 3.52%
1 Month
33.62%
increased by 5.35%
Analysis last updated: Tuesday, July 14, 2026 at 08:29 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 31, 2025 to Jul 10, 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 = 0.89 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 | 0.9493 | 6.91*** |
α ARCH Response to squared shocks | 0.3502 | 12.58*** |
β GARCH Volatility persistence | 0.2498 | 5.59*** |
γ leverage Additional response to negative shocks | 0.7246 | 10.77*** |
δ power Transformation power | 0.8884 | 6.44*** |
Persistence:
0.520
Half-life:
1 days
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