V-Lab
Goldman Sachs Equal Weight US Large Cap Equity ETF Asy. Power MEM Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
11.26%
1 Week
11.24%
1 Month
11.20%
Analysis last updated: Tuesday, September 8, 2026 at 10:20 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 15, 2017 to Sep 4, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 87% more than equivalent positive returns. The volatility power δ = 1.00 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 | 0.0454 | 5.05*** |
| αARCH | 0.2057 | 5.00*** |
| βGARCH | 0.7711 | 20.35*** |
| γleverage | 0.3015 | 3.17*** |
| δpower | 1.0026 | 2.30** |
0.935
Persistence10d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0454 | 5.05*** |
α ARCH Response to squared shocks | 0.2057 | 5.00*** |
β GARCH Volatility persistence | 0.7711 | 20.35*** |
γ leverage Additional response to negative shocks | 0.3015 | 3.17*** |
δ power Transformation power | 1.0026 | 2.30** |
Persistence:
0.935
Half-life:
10 days
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