NASDAQ Composite Index AGARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
19.28%
decreased by 1.06%
1 Week
19.44%
decreased by 0.90%
1 Month
19.99%
decreased by 0.35%
Analysis last updated: Wednesday, July 22, 2026 at 12:04 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 17, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0140 | 6.56*** |
α ARCH Response to squared shocks | 0.1009 | 48.24*** |
β GARCH Volatility persistence | 0.8776 | 394.61*** |
γ leverage Additional response to negative shocks | 0.5491 | 22.73*** |
Persistence:
0.978
Half-life:
32 days
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