V-Lab
Singapore Dollar EGARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
2.76%
decreased by 0.10%
1 Week
2.83%
decreased by 0.03%
1 Month
3.07%
increased by 0.21%
Analysis last updated: Sunday, August 9, 2026 at 01:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 7, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 28% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | -0.0189 | -12.01*** |
α ARCH Response to squared shocks | 0.1162 | 39.50*** |
β GARCH Volatility persistence | 0.9883 | 1,581.33*** |
γ leverage Additional response to negative shocks | 0.0143 | 5.36*** |
Persistence:
0.988
Half-life:
59 days
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