V-Lab
QTREX Quantum Ltd APARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, August 12th, 2026
1 Day
115.62%
1 Week
118.38%
1 Month
129.06%
Analysis last updated: Tuesday, August 11, 2026 at 10:07 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 14, 2021 to Aug 7, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution. The volatility power δ = 1.70 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 343% more than positive returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6051 | 2.36** |
α ARCH Response to squared shocks | 0.1177 | 6.23*** |
β GARCH Volatility persistence | 0.8823 | 47.12*** |
γ leverage Additional response to negative shocks | 0.4109 | 5.44*** |
δ power Transformation power | 1.7046 | 9.24*** |
Persistence:
1.000
Half-life:
-
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