Sats As APARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
31.57%
decreased by 0.25%
1 Week
32.52%
increased by 0.70%
1 Month
35.30%
increased by 3.48%
Analysis last updated: Tuesday, July 14, 2026 at 07:57 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 23, 2019 to Jul 10, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 167% more than equivalent positive returns. The volatility power δ = 1.64 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
σ
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2169 | 6.95*** |
α ARCH Response to squared shocks | 0.0841 | 12.42*** |
β GARCH Volatility persistence | 0.8775 | 103.64*** |
γ leverage Additional response to negative shocks | 0.2913 | 8.96*** |
δ power Transformation power | 1.6366 | 16.04*** |
Persistence:
0.956
Half-life:
15 days
Other APARCH Analyses on International Equities