V-Lab
National Aerospace Fastener AGARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
56.97%
decreased by 2.95%
1 Week
56.63%
decreased by 3.29%
1 Month
55.41%
decreased by 4.51%
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
The news-impact curve is shifted (γ = -0.23) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1558 | 15.90*** |
α ARCH Response to squared shocks | 0.0926 | 37.95*** |
β GARCH Volatility persistence | 0.8889 | 315.44*** |
γ leverage Additional response to negative shocks | -0.2314 | -3.12*** |
Persistence:
0.981
Half-life:
37 days
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