Centiel AG 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 Monday, July 20th, 2026
1 Day
97.72%
1 Week
97.80%
1 Month
98.14%
Analysis last updated: Sunday, July 19, 2026 at 05:04 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 12, 2006 to Jul 17, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 60136075 trading days (~238635.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 2.38 sits above 2, so large shocks influence volatility more than quadratically, dominating the response more than in standard GARCH.
APMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0779 | 10.00*** |
α ARCH Response to squared shocks | 0.0885 | 20.48*** |
β GARCH Volatility persistence | 0.8968 | 249.74*** |
γ leverage Additional response to negative shocks | 0.0166 | 1.31 |
δ power Transformation power | 2.3768 | 37.17*** |
Persistence:
1.000
Half-life:
60136075 days
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