FT Wilshire 5000 Index AGARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
12.22%
increased by 1.15%
1 Week
12.58%
increased by 1.51%
1 Month
13.72%
increased by 2.65%
Analysis last updated: Wednesday, September 2, 2026 at 04:38 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 16, 2026Model Insight
The news-impact curve is shifted (γ = 0.58) 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
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Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0002 | 0.01 |
| αARCH | 0.1064 | 7.01*** |
| βGARCH | 0.8647 | 54.08*** |
| γleverage | 0.5765 | 3.76*** |
0.971
Persistence24d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0002 | 0.01 |
α ARCH Response to squared shocks | 0.1064 | 7.01*** |
β GARCH Volatility persistence | 0.8647 | 54.08*** |
γ leverage Additional response to negative shocks | 0.5765 | 3.76*** |
Persistence:
0.971
Half-life:
24 days
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