Russian Ruble APARCH Volatility Analysis

Model Insight

With persistence 0.997, volatility shocks have a half-life of 199 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.79 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.

Inverse leverage: Positive returns increase volatility 89% more than negative returns