V-Lab
FT Wilshire 5000 Index Asy. Power MEM Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
12.10%
increased by 1.15%
1 Week
11.72%
increased by 0.77%
1 Month
10.76%
decreased by 0.19%
Analysis last updated: Sunday, July 19, 2026 at 07:03 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 31, 2009 to Jan 2, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 87% more than equivalent positive returns. The volatility power δ = 0.81 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
μ
APMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0448 | 28.53*** |
α ARCH Response to squared shocks | 0.2096 | 38.64*** |
β GARCH Volatility persistence | 0.7655 | 129.16*** |
γ leverage Additional response to negative shocks | 0.3676 | 21.60*** |
δ power Transformation power | 0.8095 | 18.45*** |
Persistence:
0.930
Half-life:
10 days
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