V-Lab
S&P 500 Growth Index Asy. Power MEM Volatility Analysis
Volatility prediction for Friday, July 31st, 2026
1 Day
24.74%
decreased by 2.30%
1 Week
23.32%
decreased by 3.72%
1 Month
19.33%
decreased by 7.71%
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 notable leverage effect: negative returns increase next-day volatility 78% more than equivalent positive returns. The volatility power δ = 1.02 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
μ
APMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0307 | 39.51*** |
α ARCH Response to squared shocks | 0.1937 | 64.17*** |
β GARCH Volatility persistence | 0.7942 | 267.51*** |
γ leverage Additional response to negative shocks | 0.2745 | 31.05*** |
δ power Transformation power | 1.0244 | 32.16*** |
Persistence:
0.949
Half-life:
13 days
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