Dow Jones Euro Stoxx Index APARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
13.89%
decreased by 0.67%
1 Week
14.14%
decreased by 0.42%
1 Month
14.97%
increased by 0.41%
Analysis last updated: Thursday, July 16, 2026 at 06:14 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 10, 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 = 1.15 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
σ
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0288 | 32.70*** |
α ARCH Response to squared shocks | 0.0726 | 14.22*** |
β GARCH Volatility persistence | 0.9143 | 294.93*** |
γ leverage Additional response to negative shocks | 0.8061 | 13.33*** |
δ power Transformation power | 1.1509 | 38.10*** |
Persistence:
0.977
Half-life:
29 days
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