V-Lab
SLW Short Duration Income ETF APARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, August 12th, 2026
1 Day
2.16%
1 Week
2.18%
1 Month
2.23%
Analysis last updated: Tuesday, August 11, 2026 at 10:14 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 5, 2025 to Aug 7, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 481956 trading days (~1912.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.44 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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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0003 | 0.92 |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 1.0000 | 102.22*** |
γ leverage Additional response to negative shocks | -0.1748 | 0.00 |
δ power Transformation power | 1.4370 | 4.75*** |
Persistence:
1.000
Half-life:
481956 days
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