Onterris Inc Asy. Power MEM Volatility Analysis

Model Insight

With persistence 0.995, volatility shocks have a half-life of 146 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.57 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.

Leverage: Negative returns increase volatility 162% more than positive returns