V-Lab
Innovator Equity Dual Directional 15 Buffer ETF - November Asy. Power MEM Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
1.63%
decreased by 0.30%
1 Week
1.66%
decreased by 0.27%
1 Month
1.69%
decreased by 0.24%
Analysis last updated: Saturday, August 8, 2026 at 02:14 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 3, 2025 to Aug 7, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible. The volatility power δ = 0.66 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 | 0.0545 | 3.96*** |
α ARCH Response to squared shocks | 0.1768 | 13.89*** |
β GARCH Volatility persistence | 0.6387 | 21.52*** |
γ leverage Additional response to negative shocks | 0.8841 | 16.80*** |
δ power Transformation power | 0.6586 | 6.10*** |
Persistence:
0.764
Half-life:
3 days
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