V-Lab
iShares Silver Trust APARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
40.96%
1 Week
40.95%
1 Month
40.90%
Analysis last updated: Friday, September 11, 2026 at 11:52 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 28, 2006 to Sep 11, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 105 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.68 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0312 | 2.80*** |
| αARCH | 0.0691 | 4.76*** |
| βGARCH | 0.9309 | 70.04*** |
| γleverage | -0.0746 | -0.93 |
| δpower | 1.6837 | 6.35*** |
0.993
Persistence105d
Half-lifeAPARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0312 | 2.80*** |
α ARCH Response to squared shocks | 0.0691 | 4.76*** |
β GARCH Volatility persistence | 0.9309 | 70.04*** |
γ leverage Additional response to negative shocks | -0.0746 | -0.93 |
δ power Transformation power | 1.6837 | 6.35*** |
Persistence:
0.993
Half-life:
105 days
Other iShares Silver Trust Analyses
Other APARCH Analyses on ETFs