Mount Logan Capital 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 Tuesday, July 21st, 2026
1 Day
59.86%
1 Week
59.89%
1 Month
60.04%
Analysis last updated: Monday, July 20, 2026 at 09:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 15, 2025 to Jul 17, 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 147% more than positive returns
APMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0067 | 2.79*** |
α ARCH Response to squared shocks | 0.1478 | 5.01*** |
β GARCH Volatility persistence | 0.8522 | 34.86*** |
γ leverage Additional response to negative shocks | 0.2368 | 5.92*** |
δ power Transformation power | 1.8719 | 5.39*** |
Persistence:
1.000
Half-life:
-
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