V-Lab
NASDAQ Composite Index AGARCH Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
13.50%
decreased by 0.34%
1 Week
14.02%
increased by 0.18%
1 Month
15.67%
increased by 1.83%
Analysis last updated: Tuesday, October 6, 2026 at 12:05 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Oct 2, 2026Model Insight
The news-impact curve is shifted (γ = 0.55) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
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Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0140 | 1.64 |
| αARCH | 0.1007 | 12.07*** |
| βGARCH | 0.8775 | 98.70*** |
| γleverage | 0.5504 | 5.70*** |
0.978
Persistence32d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0140 | 1.64 |
α ARCH Response to squared shocks | 0.1007 | 12.07*** |
β GARCH Volatility persistence | 0.8775 | 98.70*** |
γ leverage Additional response to negative shocks | 0.5504 | 5.70*** |
Persistence:
0.978
Half-life:
32 days
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