Mount Logan Capital Inc AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, July 15th, 2026
1 Day
93.13%
1 Week
103.88%
1 Month
170.58%
Analysis last updated: Tuesday, July 14, 2026 at 09:27 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 15, 2025 to Jul 10, 2026Model Insight
Estimated persistence of 1.106 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.
Asymmetry: positive returns raise volatility more
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0665 | 1.19 |
α ARCH Response to squared shocks | 0.3348 | 14.92*** |
β GARCH Volatility persistence | 0.7710 | 50.63*** |
γ leverage Additional response to negative shocks | -0.4553 | -3.58*** |
Persistence:
1.106
Half-life:
-
Other Mount Logan Capital Inc Analyses
Other AGARCH Analyses on Equities