V-Lab
HSI Volatility Index APARCH Volatility Analysis
Volatility prediction for Friday, September 18th, 2026
1 Day
72.04%
1 Week
74.52%
1 Month
81.65%
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
Jul 16, 2010 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 = 0.92 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.2870 | 2.88*** |
| αARCH | 0.0829 | 3.92*** |
| βGARCH | 0.8824 | 31.21*** |
| γleverage | -0.9570 | -3.71*** |
| δpower | 0.9223 | 4.69*** |
0.945
Persistence12d
Half-lifeAPARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2870 | 2.88*** |
α ARCH Response to squared shocks | 0.0829 | 3.92*** |
β GARCH Volatility persistence | 0.8824 | 31.21*** |
γ leverage Additional response to negative shocks | -0.9570 | -3.71*** |
δ power Transformation power | 0.9223 | 4.69*** |
Persistence:
0.945
Half-life:
12 days
Other HSI Volatility Index Analyses
Other APARCH Analyses on Volatility Indices