V-Lab
Matsuda Sangyo Co Ltd 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 Friday, September 11th, 2026
1 Day
56.26%
1 Week
56.34%
1 Month
56.67%
Analysis last updated: Friday, September 11, 2026 at 08:31 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 28, 1995 to Sep 4, 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 = 2.45 sits above 2, so large shocks influence volatility more than quadratically, dominating the response more than in standard GARCH.
APMEM Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0397 | 3.58*** |
| αARCH | 0.0717 | 4.53*** |
| βGARCH | 0.9137 | 69.91*** |
| γleverage | -0.0228 | -0.44 |
| δpower | 2.4479 | 7.04*** |
1.000
Persistence-
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0397 | 3.58*** |
α ARCH Response to squared shocks | 0.0717 | 4.53*** |
β GARCH Volatility persistence | 0.9137 | 69.91*** |
γ leverage Additional response to negative shocks | -0.0228 | -0.44 |
δ power Transformation power | 2.4479 | 7.04*** |
Persistence:
1.000
Half-life:
-
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