V-Lab
Sunstone Hotel Investors Inc APARCH Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
15.67%
1 Week
16.11%
1 Month
17.75%
Analysis last updated: Thursday, October 1, 2026 at 11:15 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 21, 2004 to Sep 25, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 86 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.38 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 224% more than positive returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0271 | 4.13*** |
| αARCH | 0.0644 | 6.62*** |
| βGARCH | 0.9356 | 120.93*** |
| γleverage | 0.4003 | 4.00*** |
| δpower | 1.3848 | 6.78*** |
0.992
Persistence86d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0271 | 4.13*** |
α ARCH Response to squared shocks | 0.0644 | 6.62*** |
β GARCH Volatility persistence | 0.9356 | 120.93*** |
γ leverage Additional response to negative shocks | 0.4003 | 4.00*** |
δ power Transformation power | 1.3848 | 6.78*** |
Persistence:
0.992
Half-life:
86 days
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