V-Lab
Hallmark Financial Services Inc Asy. Power MEM Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, June 12th, 2026
1 Day
3,044.56%
1 Week
3,044.56%
1 Month
3,044.56%
Analysis last updated: Friday, June 12, 2026 at 11:43 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 12, 1992 to May 9, 2025Model Insight
With persistence 1.000, volatility shocks have a half-life of 2822051 trading days (~11198.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 3.00 sits above 2, so large shocks influence volatility more than quadratically, dominating the response more than in standard GARCH.
Leverage: Negative returns increase volatility 87% more than positive returns
APMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1458 | 1.96* |
α ARCH Response to squared shocks | 0.0533 | 13.29*** |
β GARCH Volatility persistence | 0.9122 | 66.60*** |
γ leverage Additional response to negative shocks | 0.1040 | 2.98*** |
δ power Transformation power | 3.0000 | 5.90*** |
Persistence:
1.000
Half-life:
2822051 days
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