V-Lab
Plural Logistica Fii Classe Un Asy. Power MEM Volatility Analysis
Volatility prediction for Tuesday, June 16th, 2026
1 Day
15.12%
decreased by 0.75%
1 Week
15.90%
increased by 0.03%
1 Month
18.16%
increased by 2.29%
Analysis last updated: Tuesday, June 16, 2026 at 09:39 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 17, 2021 to Jun 12, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 36% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
μ
APMEM Model
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Inverse leverage: Positive returns increase volatility 36% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0815 | 9.69*** |
| αARCH | 0.1359 | 18.14*** |
| βGARCH | 0.8306 | 97.98*** |
| γleverage | -0.0804 | -4.27*** |
| δpower | 1.9063 | 15.16*** |
0.963
Persistence18d
Half-lifeμ
APMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0815 | 9.69*** |
α ARCH Response to squared shocks | 0.1359 | 18.14*** |
β GARCH Volatility persistence | 0.8306 | 97.98*** |
γ leverage Additional response to negative shocks | -0.0804 | -4.27*** |
δ power Transformation power | 1.9063 | 15.16*** |
Persistence:
0.963
Half-life:
18 days
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