V-Lab
MD Sass Concentrated Value ETF MEM Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, September 16th, 2026
1 Day
24.04%
increased by 19.51%
1 Week
24.82%
increased by 20.29%
1 Month
27.74%
increased by 23.21%
Analysis last updated: Wednesday, September 16, 2026 at 02:51 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 4, 2026 to Sep 11, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
μ
MEM Model
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High persistence: persistence 1.000 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0760 | 3.39*** |
| αARCH | 1.0000 | 2.51** |
| βGARCH | 0.0000 | 0.00 |
1.000
Persistence-
Half-lifeμ
MEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0760 | 3.39*** |
α ARCH Response to squared shocks | 1.0000 | 2.51** |
β GARCH Volatility persistence | 0.0000 | 0.00 |
Persistence:
1.000
Half-life:
-
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