V-Lab
South African Rand APARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, October 5th, 2026
1 Day
10.20%
1 Week
10.24%
1 Month
10.40%
Analysis last updated: Friday, October 2, 2026 at 08:40 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 2, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Inverse leverage: Positive returns increase volatility 83% more than negative returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0016 | 3.48*** |
| αARCH | 0.0590 | 8.41*** |
| βGARCH | 0.9389 | 116.30*** |
| γleverage | -0.1475 | -3.26*** |
| δpower | 2.0350 | 7.36*** |
1.000
Persistence-
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0016 | 3.48*** |
α ARCH Response to squared shocks | 0.0590 | 8.41*** |
β GARCH Volatility persistence | 0.9389 | 116.30*** |
γ leverage Additional response to negative shocks | -0.1475 | -3.26*** |
δ power Transformation power | 2.0350 | 7.36*** |
Persistence:
1.000
Half-life:
-
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