V-Lab
COMEX Silver APARCH Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
39.69%
1 Week
39.72%
1 Month
39.83%
Analysis last updated: Saturday, August 15, 2026 at 04:05 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 to Aug 14, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 172 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.72 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Inverse leverage: Positive returns increase volatility 69% more than negative returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0224 | 15.25*** |
α ARCH Response to squared shocks | 0.0529 | 18.25*** |
β GARCH Volatility persistence | 0.9471 | 446.13*** |
γ leverage Additional response to negative shocks | -0.1517 | -6.96*** |
δ power Transformation power | 1.7186 | 26.49*** |
Persistence:
0.996
Half-life:
172 days
Other COMEX Silver Analyses
Other APARCH Analyses on Commodities