V-Lab
State Street SPDR S&P Metals & Mining ETF APARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
37.40%
1 Week
37.42%
1 Month
37.52%
Analysis last updated: Saturday, September 12, 2026 at 12:05 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 22, 2006 to Sep 11, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 84 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.40 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 122% more than positive returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0291 | 3.00*** |
| αARCH | 0.0590 | 6.33*** |
| βGARCH | 0.9410 | 113.11*** |
| γleverage | 0.2763 | 2.84*** |
| δpower | 1.4048 | 5.33*** |
0.992
Persistence84d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0291 | 3.00*** |
α ARCH Response to squared shocks | 0.0590 | 6.33*** |
β GARCH Volatility persistence | 0.9410 | 113.11*** |
γ leverage Additional response to negative shocks | 0.2763 | 2.84*** |
δ power Transformation power | 1.4048 | 5.33*** |
Persistence:
0.992
Half-life:
84 days
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