V-Lab
Securitize Corp AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Thursday, August 6th, 2026
1 Day
100.69%
1 Week
105.44%
1 Month
127.83%
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
May 2, 2025 to Jul 31, 2026Model Insight
Estimated persistence of 1.042 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.
Asymmetry: positive returns raise volatility more
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 0.00 |
α ARCH Response to squared shocks | 0.2552 | 12.04*** |
β GARCH Volatility persistence | 0.7865 | 61.68*** |
γ leverage Additional response to negative shocks | -0.8543 | -7.39*** |
Persistence:
1.042
Half-life:
-
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