V-Lab
FT Wilshire 5000 Index Asy. Power MEM Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
12.08%
1 Week
11.70%
1 Month
10.76%
Analysis last updated: Wednesday, September 2, 2026 at 04:39 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 31, 2009 to Jul 16, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 84% 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.
APMEM Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0465 | 7.15*** |
| αARCH | 0.2127 | 9.79*** |
| βGARCH | 0.7607 | 31.85*** |
| γleverage | 0.3590 | 5.46*** |
| δpower | 0.8130 | 4.58*** |
0.928
Persistence9d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0465 | 7.15*** |
α ARCH Response to squared shocks | 0.2127 | 9.79*** |
β GARCH Volatility persistence | 0.7607 | 31.85*** |
γ leverage Additional response to negative shocks | 0.3590 | 5.46*** |
δ power Transformation power | 0.8130 | 4.58*** |
Persistence:
0.928
Half-life:
9 days
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