V-Lab
FT Wilshire 5000 Index AGARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
12.20%
increased by 1.15%
1 Week
12.57%
increased by 1.52%
1 Month
13.70%
increased by 2.65%
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
Jan 1, 1990 to Jan 2, 2026Model Insight
The news-impact curve is shifted (γ = 0.57) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0002 | 0.04 |
α ARCH Response to squared shocks | 0.1071 | 27.90*** |
β GARCH Volatility persistence | 0.8646 | 216.21*** |
γ leverage Additional response to negative shocks | 0.5709 | 14.90*** |
Persistence:
0.972
Half-life:
24 days
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