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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 17, 2014 to Aug 7, 2026Model 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
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| Parameter | Value | t-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
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