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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Mar 19, 2026Model 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
| Parameter | Value | t-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
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