V-Lab
Shanghai Shenzhen CSI 300 Index APARCH Volatility Analysis
Volatility prediction for Thursday, October 8th, 2026
1 Day
17.42%
1 Week
17.62%
1 Month
18.35%
Analysis last updated: Wednesday, September 30, 2026 at 08:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 8, 2005 to Sep 30, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 131 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.77 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 | 0.0179 | 3.19*** |
| αARCH | 0.0720 | 5.74*** |
| βGARCH | 0.9280 | 85.42*** |
| γleverage | 0.0284 | 0.44 |
| δpower | 1.7747 | 7.93*** |
0.995
Persistence131d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0179 | 3.19*** |
α ARCH Response to squared shocks | 0.0720 | 5.74*** |
β GARCH Volatility persistence | 0.9280 | 85.42*** |
γ leverage Additional response to negative shocks | 0.0284 | 0.44 |
δ power Transformation power | 1.7747 | 7.93*** |
Persistence:
0.995
Half-life:
131 days
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