V-Lab
SandRidge Energy, Inc. APARCH Volatility Analysis
Volatility prediction for Thursday, August 6th, 2026
1 Day
38.06%
1 Week
38.46%
1 Month
39.98%
Analysis last updated: Wednesday, August 5, 2026 at 09:49 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 4, 2016 to Jul 31, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 114 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.53 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 128% more than positive returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0542 | 5.45*** |
α ARCH Response to squared shocks | 0.0559 | 12.72*** |
β GARCH Volatility persistence | 0.9441 | 268.14*** |
γ leverage Additional response to negative shocks | 0.2623 | 5.85*** |
δ power Transformation power | 1.5338 | 17.01*** |
Persistence:
0.994
Half-life:
114 days
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