V-Lab
Russian Ruble APARCH Volatility Analysis
Volatility prediction for Friday, September 25th, 2026
1 Day
9.70%
1 Week
9.76%
1 Month
9.99%
Analysis last updated: Thursday, September 24, 2026 at 08:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2000 to Sep 18, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 193 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 88% more than negative returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0037 | 5.46*** |
| αARCH | 0.0736 | 9.41*** |
| βGARCH | 0.9264 | 96.71*** |
| γleverage | -0.1742 | -2.58*** |
| δpower | 1.7904 | 9.56*** |
0.996
Persistence193d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0037 | 5.46*** |
α ARCH Response to squared shocks | 0.0736 | 9.41*** |
β GARCH Volatility persistence | 0.9264 | 96.71*** |
γ leverage Additional response to negative shocks | -0.1742 | -2.58*** |
δ power Transformation power | 1.7904 | 9.56*** |
Persistence:
0.996
Half-life:
193 days
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