V-Lab
Dow Jones South Africa Index APARCH Volatility Analysis
Volatility prediction for Friday, September 25th, 2026
1 Day
17.17%
1 Week
17.26%
1 Month
17.56%
Analysis last updated: Friday, September 25, 2026 at 08:56 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1992 to Sep 24, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 237% more than equivalent positive returns. The volatility power δ = 1.56 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 | 0.0298 | 7.28*** |
| αARCH | 0.0828 | 9.31*** |
| βGARCH | 0.9011 | 84.75*** |
| γleverage | 0.3698 | 4.94*** |
| δpower | 1.5629 | 8.41*** |
0.978
Persistence31d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0298 | 7.28*** |
α ARCH Response to squared shocks | 0.0828 | 9.31*** |
β GARCH Volatility persistence | 0.9011 | 84.75*** |
γ leverage Additional response to negative shocks | 0.3698 | 4.94*** |
δ power Transformation power | 1.5629 | 8.41*** |
Persistence:
0.978
Half-life:
31 days
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