V-Lab
Schwab U.S. Mid-Cap ETF APARCH Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
14.96%
1 Week
15.22%
1 Month
16.11%
Analysis last updated: Tuesday, September 8, 2026 at 10:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 13, 2011 to Sep 4, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible. The volatility power δ = 1.01 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0317 | 6.61*** |
| αARCH | 0.0892 | 7.20*** |
| βGARCH | 0.9036 | 75.64*** |
| γleverage | 0.8883 | 5.86*** |
| δpower | 1.0149 | 7.83*** |
0.975
Persistence28d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0317 | 6.61*** |
α ARCH Response to squared shocks | 0.0892 | 7.20*** |
β GARCH Volatility persistence | 0.9036 | 75.64*** |
γ leverage Additional response to negative shocks | 0.8883 | 5.86*** |
δ power Transformation power | 1.0149 | 7.83*** |
Persistence:
0.975
Half-life:
28 days
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