V-Lab
National Aerospace Fastener Asy. Power MEM Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, August 10th, 2026
1 Day
52.50%
1 Week
52.68%
1 Month
53.39%
Analysis last updated: Sunday, August 9, 2026 at 01:47 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 18, 2002 to Aug 7, 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. The volatility power δ = 2.76 sits above 2, so large shocks influence volatility more than quadratically, dominating the response more than in standard GARCH.
Inverse leverage: Positive returns increase volatility 57% more than negative returns
APMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1300 | 13.58*** |
α ARCH Response to squared shocks | 0.0728 | 13.38*** |
β GARCH Volatility persistence | 0.8960 | 253.62*** |
γ leverage Additional response to negative shocks | -0.0810 | -7.90*** |
δ power Transformation power | 2.7643 | 20.33*** |
Persistence:
1.000
Half-life:
-
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