V-Lab
State Street SPDR Portfolio Aggregate Bond ETF MEM Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Tuesday, September 8th, 2026
1 Day
3.80%
decreased by 0.30%
1 Week
3.91%
decreased by 0.19%
1 Month
4.33%
increased by 0.23%
Analysis last updated: Friday, September 4, 2026 at 10:49 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
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
MEM Model
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High persistence: persistence 1.000 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0017 | 0.70 |
| αARCH | 0.2046 | 4.01*** |
| βGARCH | 0.7954 | 28.83*** |
1.000
Persistence-
Half-lifeμ
MEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0017 | 0.70 |
α ARCH Response to squared shocks | 0.2046 | 4.01*** |
β GARCH Volatility persistence | 0.7954 | 28.83*** |
Persistence:
1.000
Half-life:
-
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