Walt Disney Co/The Asy. Power MEM Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
30.15%
increased by 1.09%
1 Week
28.32%
decreased by 0.74%
1 Month
23.40%
decreased by 5.66%
Analysis last updated: Monday, July 20, 2026 at 09:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 13% more than equivalent positive returns. The volatility power δ = 0.77 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 | 0.0441 | 26.92*** |
α ARCH Response to squared shocks | 0.1857 | 61.30*** |
β GARCH Volatility persistence | 0.8000 | 234.11*** |
γ leverage Additional response to negative shocks | 0.0819 | 14.03*** |
δ power Transformation power | 0.7660 | 16.34*** |
Persistence:
0.948
Half-life:
13 days
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