V-Lab
iShares MSCI Hong Kong ETF Asy. Power MEM Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
14.87%
1 Week
15.07%
1 Month
15.69%
Analysis last updated: Friday, September 11, 2026 at 11:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 1, 1996 to Sep 11, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 46% more than equivalent positive returns. The volatility power δ = 1.38 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APMEM Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0445 | 5.97*** |
| αARCH | 0.1896 | 11.43*** |
| βGARCH | 0.8013 | 49.85*** |
| γleverage | 0.1350 | 4.54*** |
| δpower | 1.3820 | 8.10*** |
0.961
Persistence17d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0445 | 5.97*** |
α ARCH Response to squared shocks | 0.1896 | 11.43*** |
β GARCH Volatility persistence | 0.8013 | 49.85*** |
γ leverage Additional response to negative shocks | 0.1350 | 4.54*** |
δ power Transformation power | 1.3820 | 8.10*** |
Persistence:
0.961
Half-life:
17 days
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