MSCI COLCAP Index Asy. Power MEM Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
19.03%
increased by 1.15%
1 Week
18.50%
increased by 0.62%
1 Month
16.96%
decreased by 0.92%
Analysis last updated: Friday, July 17, 2026 at 11:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 16, 2008 to Apr 30, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 39% more than equivalent positive returns. The volatility power δ = 1.41 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
μ
APMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0423 | 25.39*** |
α ARCH Response to squared shocks | 0.2248 | 53.92*** |
β GARCH Volatility persistence | 0.7562 | 166.74*** |
γ leverage Additional response to negative shocks | 0.1156 | 17.62*** |
δ power Transformation power | 1.4128 | 23.40*** |
Persistence:
0.947
Half-life:
13 days
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