Urbana Corp APARCH Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
41.90%
1 Week
43.19%
1 Month
47.96%
Analysis last updated: Wednesday, July 15, 2026 at 09:10 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 24, 1990 to Jul 10, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 117 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.65 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 221% more than positive returns
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1573 | 11.69*** |
α ARCH Response to squared shocks | 0.1178 | 31.64*** |
β GARCH Volatility persistence | 0.8822 | 264.77*** |
γ leverage Additional response to negative shocks | 0.3393 | 12.83*** |
δ power Transformation power | 1.6524 | 25.57*** |
Persistence:
0.994
Half-life:
117 days
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