EURO STOXX 50 Volatility Index APARCH Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
120.16%
1 Week
118.73%
1 Month
114.70%
Analysis last updated: Friday, October 9, 2026 at 04:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 4, 1999 to Oct 2, 2026Model Insight
Volatility shocks decay with a half-life of 13 trading days, meaning a shock loses half its impact after approximately 13 days. The volatility power δ = 0.79 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 | 0.2359 | 3.27*** |
| αARCH | 0.0793 | 10.67*** |
| βGARCH | 0.8926 | 59.38*** |
| γleverage | -1.0000 | -43.75*** |
| δpower | 0.7862 | 5.84*** |
0.947
Persistence13d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2359 | 3.27*** |
α ARCH Response to squared shocks | 0.0793 | 10.67*** |
β GARCH Volatility persistence | 0.8926 | 59.38*** |
γ leverage Additional response to negative shocks | -1.0000 | -43.75*** |
δ power Transformation power | 0.7862 | 5.84*** |
Persistence:
0.947
Half-life:
13 days
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