V-Lab
Spenda Ltd APARCH Volatility Analysis
Volatility prediction for Wednesday, August 19th, 2026
1 Day
284.20%
1 Week
283.58%
1 Month
281.11%
Analysis last updated: Wednesday, August 19, 2026 at 05:53 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 29, 2002 to Aug 7, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 223 trading days (~0.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 2.72 sits above 2, so large shocks influence volatility more than quadratically, dominating the response more than in standard GARCH.
Leverage: Negative returns increase volatility 289% more than positive returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3189 | 3.15*** |
α ARCH Response to squared shocks | 0.0234 | 6.00*** |
β GARCH Volatility persistence | 0.9602 | 514.87*** |
γ leverage Additional response to negative shocks | 0.2446 | 10.27*** |
δ power Transformation power | 2.7218 | 16.55*** |
Persistence:
0.997
Half-life:
223 days
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