Russell 1000 Value Index AGARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
9.41%
increased by 1.15%
1 Week
10.03%
increased by 1.77%
1 Month
11.83%
increased by 3.57%
Analysis last updated: Friday, October 30, 2026 at 12:48 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 12, 2000 to Oct 23, 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
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Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0000 | 0.00 |
| αARCH | 0.1076 | 9.44*** |
| βGARCH | 0.8603 | 69.74*** |
| γleverage | 0.5793 | 6.60*** |
0.968
Persistence21d
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 | 0.1076 | 9.44*** |
β GARCH Volatility persistence | 0.8603 | 69.74*** |
γ leverage Additional response to negative shocks | 0.5793 | 6.60*** |
Persistence:
0.968
Half-life:
21 days
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