V-Lab
National Aerospace Fastener Asy. MEM Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
57.83%
decreased by 0.72%
1 Week
57.72%
decreased by 0.83%
1 Month
57.33%
decreased by 1.22%
Analysis last updated: Friday, August 7, 2026 at 08:20 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 18, 2002 to Jul 31, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 119 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: Positive returns increase volatility 51% more than negative returns
μ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0537 | 9.54*** |
α ARCH Response to squared shocks | 0.0956 | 19.96*** |
β GARCH Volatility persistence | 0.9148 | 217.40*** |
γ leverage Additional response to negative shocks | -0.0325 | -5.26*** |
Persistence:
0.994
Half-life:
119 days
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