V-Lab
S&P 500 Growth Index AGARCH Volatility Analysis
Volatility prediction for Friday, July 31st, 2026
1 Day
22.42%
increased by 0.29%
1 Week
22.33%
increased by 0.20%
1 Month
22.02%
decreased by 0.11%
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
Oct 29, 1992 to Jul 24, 2026Model Insight
The news-impact curve is shifted (γ = 0.57) 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 | 0.0000 | 0.00 |
α ARCH Response to squared shocks | 0.0999 | 34.19*** |
β GARCH Volatility persistence | 0.8799 | 301.76*** |
γ leverage Additional response to negative shocks | 0.5670 | 17.28*** |
Persistence:
0.980
Half-life:
34 days
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