V-Lab
GCM Corp Ltd Asy. MEM Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
125.61%
decreased by 5.27%
1 Week
126.81%
decreased by 4.07%
1 Month
130.39%
decreased by 0.49%
Analysis last updated: Saturday, July 25, 2026 at 10:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 15, 2007 to Jul 24, 2026Illiquid Asset
Model Insight
Volatility shocks decay with a half-life of 16 trading days, meaning a shock loses half its impact after approximately 16 days.
μ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.3031 | 13.35*** |
α ARCH Response to squared shocks | 0.0939 | 12.44*** |
β GARCH Volatility persistence | 0.8553 | 136.28*** |
γ leverage Additional response to negative shocks | 0.0162 | 1.11 |
Persistence:
0.957
Half-life:
16 days
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