S&P SmallCap 600 Index AGARCH Volatility Analysis
Volatility prediction for Monday, November 2nd, 2026
1 Day
15.61%
increased by 3.18%
1 Week
15.85%
increased by 3.42%
1 Month
16.67%
increased by 4.24%
Analysis last updated: Friday, October 30, 2026 at 11:05 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Oct 30, 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
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Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0076 | 1.52 |
| αARCH | 0.0924 | 12.88*** |
| βGARCH | 0.8861 | 115.56*** |
| γleverage | 0.5577 | 10.64*** |
0.979
Persistence32d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0076 | 1.52 |
α ARCH Response to squared shocks | 0.0924 | 12.88*** |
β GARCH Volatility persistence | 0.8861 | 115.56*** |
γ leverage Additional response to negative shocks | 0.5577 | 10.64*** |
Persistence:
0.979
Half-life:
32 days
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