V-Lab
Caswell Inc Asy. MEM Volatility Analysis
Volatility prediction for Friday, August 14th, 2026
1 Day
50.03%
decreased by 3.60%
1 Week
49.45%
decreased by 4.18%
1 Month
47.68%
decreased by 5.95%
Analysis last updated: Friday, August 14, 2026 at 08:17 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 25, 2013 to Aug 7, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 40% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
μ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3514 | 18.17*** |
α ARCH Response to squared shocks | 0.2903 | 26.72*** |
β GARCH Volatility persistence | 0.7037 | 107.80*** |
γ leverage Additional response to negative shocks | -0.0831 | -4.87*** |
Persistence:
0.952
Half-life:
14 days
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