V-Lab
Hedge Logistica Fundo de Investimento Imobiliario Asy. Power MEM Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
10.17%
1 Week
11.04%
1 Month
13.13%
Analysis last updated: Thursday, October 1, 2026 at 10:24 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 5, 2020 to Sep 25, 2026Model Insight
Volatility shocks decay with a half-life of 10 trading days, meaning a shock loses half its impact after approximately 10 days. The volatility power δ = 1.72 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 | 0.0698 | 3.71*** |
| αARCH | 0.1912 | 5.79*** |
| βGARCH | 0.7541 | 14.51*** |
| γleverage | -0.1597 | -1.94* |
| δpower | 1.7216 | 3.15*** |
0.931
Persistence10d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0698 | 3.71*** |
α ARCH Response to squared shocks | 0.1912 | 5.79*** |
β GARCH Volatility persistence | 0.7541 | 14.51*** |
γ leverage Additional response to negative shocks | -0.1597 | -1.94* |
δ power Transformation power | 1.7216 | 3.15*** |
Persistence:
0.931
Half-life:
10 days
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