V-Lab
Russell 1000 Growth Index AGARCH Volatility Analysis
Volatility prediction for Tuesday, September 22nd, 2026
1 Day
16.78%
increased by 2.40%
1 Week
16.96%
increased by 2.58%
1 Month
17.56%
increased by 3.18%
Analysis last updated: Tuesday, September 22, 2026 at 03:20 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 12, 2000 to Sep 18, 2026Model Insight
The news-impact curve is shifted (γ = 0.61) 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
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Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0000 | 0.00 |
| αARCH | 0.1023 | 7.12*** |
| βGARCH | 0.8749 | 66.04*** |
| γleverage | 0.6076 | 3.03*** |
0.977
Persistence30d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 0.00 |
α ARCH Response to squared shocks | 0.1023 | 7.12*** |
β GARCH Volatility persistence | 0.8749 | 66.04*** |
γ leverage Additional response to negative shocks | 0.6076 | 3.03*** |
Persistence:
0.977
Half-life:
30 days
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