V-Lab
Smith Douglas Homes Corp AGARCH Volatility Analysis
Volatility prediction for Thursday, August 6th, 2026
1 Day
49.24%
decreased by 1.00%
1 Week
51.34%
increased by 1.10%
1 Month
53.94%
increased by 3.70%
Analysis last updated: Wednesday, August 5, 2026 at 09:49 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 11, 2024 to Jul 31, 2026Model Insight
The news-impact curve is shifted (γ = 0.67) 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.4642 | 7.98*** |
α ARCH Response to squared shocks | 0.0793 | 9.16*** |
β GARCH Volatility persistence | 0.7144 | 25.58*** |
γ leverage Additional response to negative shocks | 0.6655 | 2.35** |
Persistence:
0.794
Half-life:
3 days
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