V-Lab
SMI Volatility Index APARCH Volatility Analysis
Volatility prediction for Friday, September 4th, 2026
1 Day
68.15%
1 Week
70.28%
1 Month
76.30%
Analysis last updated: Friday, September 4, 2026 at 11:27 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 4, 1999 to Aug 27, 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 | 0.3744 | 3.53*** |
| αARCH | 0.0750 | 4.69*** |
| βGARCH | 0.8806 | 57.40*** |
| γleverage | -0.9088 | -4.00*** |
| δpower | 1.1182 | 8.39*** |
0.945
Persistence12d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3744 | 3.53*** |
α ARCH Response to squared shocks | 0.0750 | 4.69*** |
β GARCH Volatility persistence | 0.8806 | 57.40*** |
γ leverage Additional response to negative shocks | -0.9088 | -4.00*** |
δ power Transformation power | 1.1182 | 8.39*** |
Persistence:
0.945
Half-life:
12 days
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