MBIA Inc Asy. Power MEM Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
33.75%
1 Week
33.22%
1 Month
31.51%
Analysis last updated: Friday, October 16, 2026 at 11:24 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 38% more than equivalent positive returns. The volatility power δ = 1.16 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 | 0.0594 | 4.37*** |
| αARCH | 0.1810 | 13.58*** |
| βGARCH | 0.8190 | 62.94*** |
| γleverage | 0.1388 | 5.15*** |
| δpower | 1.1574 | 5.13*** |
0.966
Persistence20d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0594 | 4.37*** |
α ARCH Response to squared shocks | 0.1810 | 13.58*** |
β GARCH Volatility persistence | 0.8190 | 62.94*** |
γ leverage Additional response to negative shocks | 0.1388 | 5.15*** |
δ power Transformation power | 1.1574 | 5.13*** |
Persistence:
0.966
Half-life:
20 days
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