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V-Lab

MSCI Asia Pacific AGARCH Volatility Analysis

Volatility prediction for Friday, August 14th, 2026

1 Day

21.82%

decreased by 1.30%

1 Week

21.70%

decreased by 1.42%

1 Month

21.25%

decreased by 1.87%

Analysis last updated: Friday, August 14, 2026 at 10:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of MSCI Asia Pacific AGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 1, 1990 to Mar 19, 2026

Model Insight

The news-impact curve is shifted (γ = 0.50) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.

σ

AGARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0080
6.32***
α

ARCH

Response to squared shocks

0.0911
45.01***
β

GARCH

Volatility persistence

0.8865
428.89***
γ

leverage

Additional response to negative shocks

0.5026
35.38***

Persistence:

0.978

Half-life:

31 days