Skip to main content
V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of MSCI USA AGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 1, 1990 to Jul 2, 2026

Model 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

ParameterValuet-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