V-Lab
PSI 20 Portuguese Stock Index APARCH Volatility Analysis
Volatility prediction for Tuesday, August 11th, 2026
1 Day
11.13%
decreased by 0.27%
1 Week
11.54%
increased by 0.14%
1 Month
12.97%
increased by 1.57%
Analysis last updated: Monday, August 10, 2026 at 05:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 30, 1992 to Aug 7, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 91% more than equivalent positive returns. The volatility power δ = 1.21 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
σ
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0301 | 31.71*** |
α ARCH Response to squared shocks | 0.1303 | 52.39*** |
β GARCH Volatility persistence | 0.8697 | 360.43*** |
γ leverage Additional response to negative shocks | 0.2603 | 24.93*** |
δ power Transformation power | 1.2146 | 34.69*** |
Persistence:
0.977
Half-life:
30 days
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