US Dollar to Japanese Yen APARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
6.07%
1 Week
6.17%
1 Month
6.56%
Analysis last updated: Sunday, October 11, 2026 at 03:01 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 11, 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 = 1.21 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 88% more than positive returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0060 | 4.11*** |
| αARCH | 0.0496 | 8.52*** |
| βGARCH | 0.9504 | 169.38*** |
| γleverage | 0.2548 | 2.96*** |
| δpower | 1.2105 | 7.81*** |
0.991
Persistence78d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0060 | 4.11*** |
α ARCH Response to squared shocks | 0.0496 | 8.52*** |
β GARCH Volatility persistence | 0.9504 | 169.38*** |
γ leverage Additional response to negative shocks | 0.2548 | 2.96*** |
δ power Transformation power | 1.2105 | 7.81*** |
Persistence:
0.991
Half-life:
78 days
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