V-Lab
CBOE EFA ETF Volatility Index APARCH Volatility Analysis
Volatility prediction for Wednesday, September 23rd, 2026
1 Day
105.22%
1 Week
109.88%
1 Month
124.54%
Analysis last updated: Wednesday, September 23, 2026 at 11:40 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2008 to Sep 18, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 358% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets. The volatility power δ = 1.44 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 | 1.0000 | 1.94* |
| αARCH | 0.1129 | 4.11*** |
| βGARCH | 0.8641 | 38.26*** |
| γleverage | -0.4847 | -2.11** |
| δpower | 1.4371 | 7.07*** |
0.967
Persistence21d
Half-lifeAPARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0000 | 1.94* |
α ARCH Response to squared shocks | 0.1129 | 4.11*** |
β GARCH Volatility persistence | 0.8641 | 38.26*** |
γ leverage Additional response to negative shocks | -0.4847 | -2.11** |
δ power Transformation power | 1.4371 | 7.07*** |
Persistence:
0.967
Half-life:
21 days
Other CBOE EFA ETF Volatility Index Analyses
Other APARCH Analyses on Volatility Indices