V-Lab
MBIA Inc Asy. MEM Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Tuesday, September 8th, 2026
1 Day
37.17%
1 Week
37.52%
1 Month
38.87%
Analysis last updated: Friday, September 4, 2026 at 11:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 4, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Leverage: Negative returns increase volatility 80% more than positive returns
AMEM Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0511 | 5.04*** |
| αARCH | 0.0975 | 8.92*** |
| βGARCH | 0.8635 | 87.08*** |
| γleverage | 0.0779 | 3.77*** |
1.000
Persistence-
Half-lifeAMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0511 | 5.04*** |
α ARCH Response to squared shocks | 0.0975 | 8.92*** |
β GARCH Volatility persistence | 0.8635 | 87.08*** |
γ leverage Additional response to negative shocks | 0.0779 | 3.77*** |
Persistence:
1.000
Half-life:
-
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