IBEX 35 Index Asy. MEM Volatility Analysis
Volatility prediction for Wednesday, October 28th, 2026
1 Day
15.01%
decreased by 0.31%
1 Week
15.45%
increased by 0.13%
1 Month
16.75%
increased by 1.43%
Analysis last updated: Tuesday, October 27, 2026 at 06:03 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 5, 1990 to Oct 23, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 88% more than equivalent positive returns.
μ
AMEM Model
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Leverage: Negative returns increase volatility 88% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0594 | 4.20*** |
| αARCH | 0.1493 | 6.46*** |
| βGARCH | 0.7493 | 63.84*** |
| γleverage | 0.1307 | 3.94*** |
0.964
Persistence19d
Half-lifeμ
AMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0594 | 4.20*** |
α ARCH Response to squared shocks | 0.1493 | 6.46*** |
β GARCH Volatility persistence | 0.7493 | 63.84*** |
γ leverage Additional response to negative shocks | 0.1307 | 3.94*** |
Persistence:
0.964
Half-life:
19 days
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