V-Lab
SMI Volatility Index APARCH Volatility Analysis
Volatility prediction for Friday, September 18th, 2026
1 Day
83.68%
1 Week
84.15%
1 Month
85.49%
Analysis last updated: Friday, September 18, 2026 at 09:59 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 4, 1999 to Sep 10, 2026Model Insight
This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets. The volatility power δ = 1.12 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 | 0.3734 | 3.54*** |
| αARCH | 0.0750 | 4.70*** |
| βGARCH | 0.8807 | 57.46*** |
| γleverage | -0.9090 | -4.02*** |
| δpower | 1.1167 | 8.38*** |
0.945
Persistence12d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3734 | 3.54*** |
α ARCH Response to squared shocks | 0.0750 | 4.70*** |
β GARCH Volatility persistence | 0.8807 | 57.46*** |
γ leverage Additional response to negative shocks | -0.9090 | -4.02*** |
δ power Transformation power | 1.1167 | 8.38*** |
Persistence:
0.945
Half-life:
12 days
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