V-Lab
State Street SPDR Portfolio Aggregate Bond ETF Asy. MEM Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, August 17th, 2026
1 Day
4.22%
decreased by 0.14%
1 Week
4.32%
decreased by 0.04%
1 Month
4.69%
increased by 0.33%
Analysis last updated: Friday, August 14, 2026 at 10:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 5, 2007 to Aug 14, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
μ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0017 | 9.45*** |
α ARCH Response to squared shocks | 0.2161 | 15.81*** |
β GARCH Volatility persistence | 0.7958 | 118.32*** |
γ leverage Additional response to negative shocks | -0.0239 | -1.20 |
Persistence:
1.000
Half-life:
-
Other State Street SPDR Portfolio Aggregate Bond ETF Analyses
Other Asy. MEM Analyses on ETFs