V-Lab
iShares China Large-Cap ETF Asy. Power MEM Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
16.90%
1 Week
16.35%
1 Month
15.01%
Analysis last updated: Friday, September 11, 2026 at 11:27 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 8, 2004 to Sep 11, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 16% more than equivalent positive returns. The volatility power δ = 0.76 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 | 0.0663 | 5.71*** |
| αARCH | 0.2715 | 13.19*** |
| βGARCH | 0.7070 | 34.32*** |
| γleverage | 0.0997 | 3.13*** |
| δpower | 0.7567 | 3.87*** |
0.923
Persistence9d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0663 | 5.71*** |
α ARCH Response to squared shocks | 0.2715 | 13.19*** |
β GARCH Volatility persistence | 0.7070 | 34.32*** |
γ leverage Additional response to negative shocks | 0.0997 | 3.13*** |
δ power Transformation power | 0.7567 | 3.87*** |
Persistence:
0.923
Half-life:
9 days
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