MSCI USA AGARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
11.89%
increased by 1.34%
1 Week
12.24%
increased by 1.69%
1 Month
13.34%
increased by 2.79%
Analysis last updated: Friday, July 17, 2026 at 11:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 2, 2026Model Insight
The news-impact curve is shifted (γ = 0.58) 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 | 0.0000 | 0.00 |
α ARCH Response to squared shocks | 0.0996 | 28.49*** |
β GARCH Volatility persistence | 0.8721 | 234.38*** |
γ leverage Additional response to negative shocks | 0.5760 | 14.33*** |
Persistence:
0.972
Half-life:
24 days
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