Taiwan Stock Exchange Weighted Index APARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
40.69%
1 Week
40.49%
1 Month
39.74%
Analysis last updated: Friday, July 17, 2026 at 07:04 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 17, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 77 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.51 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 163% more than positive returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0219 | 24.56*** |
α ARCH Response to squared shocks | 0.0843 | 36.08*** |
β GARCH Volatility persistence | 0.9157 | 459.01*** |
γ leverage Additional response to negative shocks | 0.3098 | 21.73*** |
δ power Transformation power | 1.5067 | 37.19*** |
Persistence:
0.991
Half-life:
77 days
Other Taiwan Stock Exchange Weighted Index Analyses
Other APARCH Analyses on Equity Indices