V-Lab
S&P 500 Growth Index Asy. MEM Volatility Analysis
Volatility prediction for Friday, July 31st, 2026
1 Day
24.18%
decreased by 1.80%
1 Week
24.02%
decreased by 1.96%
1 Month
23.45%
decreased by 2.53%
Analysis last updated: Thursday, July 30, 2026 at 11:06 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 7, 1993 to Jul 24, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 166% more than equivalent positive returns.
μ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0221 | 33.67*** |
α ARCH Response to squared shocks | 0.1003 | 22.84*** |
β GARCH Volatility persistence | 0.8002 | 299.80*** |
γ leverage Additional response to negative shocks | 0.1668 | 24.02*** |
Persistence:
0.984
Half-life:
43 days
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