V-Lab
SJ Au Logistica FII APARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
116.28%
1 Week
122.85%
1 Month
147.04%
Analysis last updated: Thursday, October 1, 2026 at 10:29 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 11, 2021 to Sep 25, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 142 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.52 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 | 1.0000 | 0.36 |
| αARCH | 0.0829 | 1.08 |
| βGARCH | 0.9171 | 20.25*** |
| γleverage | -0.4707 | -1.15 |
| δpower | 1.5209 | 1.18 |
0.995
Persistence142d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0000 | 0.36 |
α ARCH Response to squared shocks | 0.0829 | 1.08 |
β GARCH Volatility persistence | 0.9171 | 20.25*** |
γ leverage Additional response to negative shocks | -0.4707 | -1.15 |
δ power Transformation power | 1.5209 | 1.18 |
Persistence:
0.995
Half-life:
142 days
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