VanEck Solana ETF APARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
53.90%
decreased by 1.46%
1 Week
55.51%
increased by 0.15%
1 Month
59.40%
increased by 4.04%
Analysis last updated: Monday, July 20, 2026 at 09:31 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 17, 2025 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 9 trading days, meaning a shock loses half its impact after approximately 9 days. The volatility power δ = 1.85 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
σ
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0000 | 1.96** |
α ARCH Response to squared shocks | 0.0431 | 0.00 |
β GARCH Volatility persistence | 0.8520 | 31.58*** |
γ leverage Additional response to negative shocks | 1.0000 | 0.00 |
δ power Transformation power | 1.8461 | 7.22*** |
Persistence:
0.925
Half-life:
9 days
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