V-Lab
GCM Corp Ltd Asy. Power MEM Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
108.96%
decreased by 2.73%
1 Week
110.80%
decreased by 0.89%
1 Month
117.14%
increased by 5.45%
Analysis last updated: Saturday, August 8, 2026 at 05:58 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 15, 2007 to Aug 7, 2026Illiquid Asset
Boundary Parameters
Model Insight
Volatility shocks decay with a half-life of 37 trading days, meaning a shock loses half its impact after approximately 37 days. The volatility power δ = 1.76 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
μ
APMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0000 | 6.91*** |
α ARCH Response to squared shocks | 0.0757 | 18.32*** |
β GARCH Volatility persistence | 0.9117 | 221.65*** |
γ leverage Additional response to negative shocks | 0.0427 | 1.06 |
δ power Transformation power | 1.7622 | 29.31*** |
Persistence:
0.982
Half-life:
37 days
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