V-Lab
Schwab Short-Term U.S. Treasury ETF Asy. Power MEM Volatility Analysis
Volatility prediction for Wednesday, September 16th, 2026
1 Day
1.47%
1 Week
1.44%
1 Month
1.35%
Analysis last updated: Tuesday, September 15, 2026 at 09:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 5, 2010 to Sep 11, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 36% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets. The volatility power δ = 1.52 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APMEM Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0001 | 1.16 |
| αARCH | 0.1266 | 10.53*** |
| βGARCH | 0.8734 | 77.24*** |
| γleverage | -0.1012 | -2.29** |
| δpower | 1.5225 | 5.97*** |
0.983
Persistence41d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0001 | 1.16 |
α ARCH Response to squared shocks | 0.1266 | 10.53*** |
β GARCH Volatility persistence | 0.8734 | 77.24*** |
γ leverage Additional response to negative shocks | -0.1012 | -2.29** |
δ power Transformation power | 1.5225 | 5.97*** |
Persistence:
0.983
Half-life:
41 days
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