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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1998 to Mar 19, 2026Model 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
| Parameter | Value | t-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
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