V-Lab
Borsa Istanbul 100 Index APARCH Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
22.33%
1 Week
22.76%
1 Month
24.36%
Analysis last updated: Friday, August 14, 2026 at 03:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Aug 14, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 158 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.82 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 17% more than positive returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0407 | 15.26*** |
α ARCH Response to squared shocks | 0.0730 | 31.07*** |
β GARCH Volatility persistence | 0.9270 | 398.55*** |
γ leverage Additional response to negative shocks | 0.0439 | 2.19** |
δ power Transformation power | 1.8155 | 31.79*** |
Persistence:
0.996
Half-life:
158 days
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