V-Lab
State Street SPDR Portfolio Aggregate Bond ETF Asy. Power MEM Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
3.69%
1 Week
3.73%
1 Month
3.87%
Analysis last updated: Tuesday, September 8, 2026 at 10:43 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 5, 2007 to Sep 4, 2026Model Insight
Volatility shocks decay with a half-life of 33 trading days, meaning a shock loses half its impact after approximately 33 days. The volatility power δ = 1.61 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APMEM Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0029 | 2.02** |
| αARCH | 0.1811 | 6.69*** |
| βGARCH | 0.8189 | 26.06*** |
| γleverage | -0.0206 | -0.37 |
| δpower | 1.6083 | 5.78*** |
0.979
Persistence33d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0029 | 2.02** |
α ARCH Response to squared shocks | 0.1811 | 6.69*** |
β GARCH Volatility persistence | 0.8189 | 26.06*** |
γ leverage Additional response to negative shocks | -0.0206 | -0.37 |
δ power Transformation power | 1.6083 | 5.78*** |
Persistence:
0.979
Half-life:
33 days
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