CBOE Apple Volatility Index APARCH Volatility Analysis
Volatility prediction for Tuesday, October 13th, 2026
1 Day
82.61%
1 Week
88.48%
1 Month
100.33%
Analysis last updated: Tuesday, October 13, 2026 at 11:33 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 to Oct 9, 2026Model Insight
Volatility shocks decay with a half-life of 6 trading days, meaning a shock loses half its impact after approximately 6 days. 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 | 1.0000 | 1.79* |
| αARCH | 0.0840 | 1.79* |
| βGARCH | 0.8136 | 19.39*** |
| γleverage | -1.0000 | -1.24 |
| δpower | 1.1226 | 4.56*** |
0.887
Persistence6d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0000 | 1.79* |
α ARCH Response to squared shocks | 0.0840 | 1.79* |
β GARCH Volatility persistence | 0.8136 | 19.39*** |
γ leverage Additional response to negative shocks | -1.0000 | -1.24 |
δ power Transformation power | 1.1226 | 4.56*** |
Persistence:
0.887
Half-life:
6 days
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