V-Lab
S&P GSCI Silver Index APARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
39.78%
1 Week
39.79%
1 Month
39.81%
Analysis last updated: Saturday, September 12, 2026 at 12:55 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 11, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 207 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.70 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 100% more than negative returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0164 | 4.24*** |
| αARCH | 0.0460 | 5.34*** |
| βGARCH | 0.9540 | 150.40*** |
| γleverage | -0.2013 | -2.44** |
| δpower | 1.6977 | 7.82*** |
0.997
Persistence207d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0164 | 4.24*** |
α ARCH Response to squared shocks | 0.0460 | 5.34*** |
β GARCH Volatility persistence | 0.9540 | 150.40*** |
γ leverage Additional response to negative shocks | -0.2013 | -2.44** |
δ power Transformation power | 1.6977 | 7.82*** |
Persistence:
0.997
Half-life:
207 days
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