S&P SmallCap 600 Index AGARCH Volatility Analysis
Volatility prediction for Thursday, October 15th, 2026
1 Day
17.16%
increased by 4.23%
1 Week
17.32%
increased by 4.39%
1 Month
17.87%
increased by 4.94%
Analysis last updated: Wednesday, October 14, 2026 at 11:02 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Oct 9, 2026Model Insight
The news-impact curve is shifted (γ = 0.56) 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
Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0077 | 1.52 |
| αARCH | 0.0926 | 12.89*** |
| βGARCH | 0.8859 | 115.35*** |
| γleverage | 0.5573 | 10.64*** |
0.978
Persistence32d
Half-lifeσ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0077 | 1.52 |
α ARCH Response to squared shocks | 0.0926 | 12.89*** |
β GARCH Volatility persistence | 0.8859 | 115.35*** |
γ leverage Additional response to negative shocks | 0.5573 | 10.64*** |
Persistence:
0.978
Half-life:
32 days
Other S&P SmallCap 600 Index Analyses
Other AGARCH Analyses on Equity Indices