Russell Midcap Index APARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
11.53%
decreased by 0.51%
1 Week
11.88%
decreased by 0.16%
1 Month
13.09%
increased by 1.05%
Analysis last updated: Friday, July 17, 2026 at 11:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 1, 2004 to Jul 2, 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 = 1.20 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 | 0.0273 | 30.47*** |
α ARCH Response to squared shocks | 0.0758 | 22.02*** |
β GARCH Volatility persistence | 0.9096 | 405.90*** |
γ leverage Additional response to negative shocks | 0.9230 | 16.94*** |
δ power Transformation power | 1.1955 | 37.50*** |
Persistence:
0.978
Half-life:
32 days
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