V-Lab
RGF Capital Markets 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 5th, 2026
1 Day
36.60%
1 Week
40.17%
1 Month
51.77%
Analysis last updated: Wednesday, August 5, 2026 at 07:01 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 17, 2018 to Jul 31, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 5404824 trading days (~21447.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: Positive returns increase volatility 50% more than negative returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6479 | 3.61*** |
α ARCH Response to squared shocks | 0.2152 | 29.52*** |
β GARCH Volatility persistence | 0.7718 | 38.11*** |
γ leverage Additional response to negative shocks | -0.0951 | -2.00** |
δ power Transformation power | 2.1262 | 13.89*** |
Persistence:
1.000
Half-life:
5404824 days
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