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V-Lab

BMO Equal Weight US BKS Indx APARCH Volatility Analysis

Volatility prediction for Monday, August 10th, 2026

1 Day

21.99%

decreased by 0.83%

1 Week

22.61%

decreased by 0.21%

1 Month

24.40%

increased by 1.58%

Analysis last updated: Saturday, August 8, 2026 at 09:20 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of BMO Equal Weight US BKS Indx APARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Feb 17, 2014 to Aug 7, 2026

Model Insight

This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible. The volatility power δ = 0.91 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.

σ

APARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0915
16.84***
α

ARCH

Response to squared shocks

0.1096
20.45***
β

GARCH

Volatility persistence

0.8604
143.22***
γ

leverage

Additional response to negative shocks

0.7088
22.62***
δ

power

Transformation power

0.9102
19.10***

Persistence:

0.945

Half-life:

12 days