V-Lab
TLT Percentage Price Volatility Index APARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
107.24%
1 Week
106.37%
1 Month
103.77%
Analysis last updated: Friday, September 11, 2026 at 11:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2004 to Sep 4, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 112% 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 = 1.67 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 | 1.90* |
| αARCH | 0.1312 | 4.35*** |
| βGARCH | 0.8308 | 33.01*** |
| γleverage | -0.2211 | -2.02** |
| δpower | 1.6744 | 5.09*** |
0.952
Persistence14d
Half-lifeAPARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0000 | 1.90* |
α ARCH Response to squared shocks | 0.1312 | 4.35*** |
β GARCH Volatility persistence | 0.8308 | 33.01*** |
γ leverage Additional response to negative shocks | -0.2211 | -2.02** |
δ power Transformation power | 1.6744 | 5.09*** |
Persistence:
0.952
Half-life:
14 days
Other TLT Percentage Price Volatility Index Analyses
Other APARCH Analyses on Volatility Indices