V-Lab
Shanghai Stock Exchange Composite Index APARCH Volatility Analysis
Volatility prediction for Wednesday, September 30th, 2026
1 Day
15.61%
1 Week
15.89%
1 Month
16.92%
Analysis last updated: Tuesday, September 29, 2026 at 08:03 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 21, 1992 to Sep 24, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 181 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.83 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 | 0.0195 | 3.41*** |
| αARCH | 0.0787 | 4.48*** |
| βGARCH | 0.9213 | 80.75*** |
| γleverage | 0.0982 | 1.71* |
| δpower | 1.8347 | 6.61*** |
0.996
Persistence181d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0195 | 3.41*** |
α ARCH Response to squared shocks | 0.0787 | 4.48*** |
β GARCH Volatility persistence | 0.9213 | 80.75*** |
γ leverage Additional response to negative shocks | 0.0982 | 1.71* |
δ power Transformation power | 1.8347 | 6.61*** |
Persistence:
0.996
Half-life:
181 days
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