NASDAQ 100 Asy. Power MEM Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
23.87%
decreased by 1.97%
1 Week
22.29%
decreased by 3.55%
1 Month
18.29%
decreased by 7.55%
Analysis last updated: Tuesday, July 21, 2026 at 12:04 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 17, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 39% more than equivalent positive returns. The volatility power δ = 0.82 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
μ
APMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0475 | 36.27*** |
α ARCH Response to squared shocks | 0.2178 | 75.65*** |
β GARCH Volatility persistence | 0.7636 | 250.43*** |
γ leverage Additional response to negative shocks | 0.1999 | 36.16*** |
δ power Transformation power | 0.8172 | 23.78*** |
Persistence:
0.936
Half-life:
11 days
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