Swiss Market Index APARCH Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
11.28%
1 Week
11.77%
1 Month
13.26%
Analysis last updated: Friday, October 23, 2026 at 05:07 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 23, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible. The volatility power δ = 1.04 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 | 0.0468 | 6.51*** |
| αARCH | 0.1075 | 9.76*** |
| βGARCH | 0.8697 | 76.84*** |
| γleverage | 0.6902 | 7.27*** |
| δpower | 1.0356 | 9.32*** |
0.956
Persistence16d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0468 | 6.51*** |
α ARCH Response to squared shocks | 0.1075 | 9.76*** |
β GARCH Volatility persistence | 0.8697 | 76.84*** |
γ leverage Additional response to negative shocks | 0.6902 | 7.27*** |
δ power Transformation power | 1.0356 | 9.32*** |
Persistence:
0.956
Half-life:
16 days
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