HSI Volatility Index APARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
56.63%
1 Week
60.65%
1 Month
72.36%
Analysis last updated: Friday, October 2, 2026 at 09:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 16, 2010 to Sep 24, 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 = 0.93 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 | 0.2870 | 2.86*** |
| αARCH | 0.0826 | 3.87*** |
| βGARCH | 0.8829 | 31.30*** |
| γleverage | -0.9519 | -3.61*** |
| δpower | 0.9286 | 4.73*** |
0.946
Persistence12d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2870 | 2.86*** |
α ARCH Response to squared shocks | 0.0826 | 3.87*** |
β GARCH Volatility persistence | 0.8829 | 31.30*** |
γ leverage Additional response to negative shocks | -0.9519 | -3.61*** |
δ power Transformation power | 0.9286 | 4.73*** |
Persistence:
0.946
Half-life:
12 days
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