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V-Lab

S&P Asia 50 CME APARCH Volatility Analysis

Volatility prediction for Friday, August 7th, 2026

1 Day

47.45%

increased by 1.96%

1 Week

46.95%

increased by 1.46%

1 Month

45.12%

decreased by 0.37%

Analysis last updated: Friday, August 7, 2026 at 08:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of S&P Asia 50 CME APARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 1, 1998 to Mar 19, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 195% more than equivalent positive returns. The volatility power δ = 1.18 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

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0202
25.35***
α

ARCH

Response to squared shocks

0.0684
34.85***
β

GARCH

Volatility persistence

0.9316
545.13***
γ

leverage

Additional response to negative shocks

0.4293
18.16***
δ

power

Transformation power

1.1791
30.60***

Persistence:

0.988

Half-life:

58 days