ICE US Sugar APARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
36.77%
1 Week
36.78%
1 Month
36.79%
Analysis last updated: Friday, October 16, 2026 at 08:06 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 1, 2000 to Oct 9, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 78 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.59 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 | 0.0338 | 2.04** |
| αARCH | 0.0498 | 6.27*** |
| βGARCH | 0.9474 | 93.18*** |
| γleverage | -0.0098 | -0.11 |
| δpower | 1.5908 | 3.80*** |
0.991
Persistence78d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0338 | 2.04** |
α ARCH Response to squared shocks | 0.0498 | 6.27*** |
β GARCH Volatility persistence | 0.9474 | 93.18*** |
γ leverage Additional response to negative shocks | -0.0098 | -0.11 |
δ power Transformation power | 1.5908 | 3.80*** |
Persistence:
0.991
Half-life:
78 days
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