S&P/TSX Composite Index Asy. MEM Volatility Analysis
Volatility prediction for Wednesday, October 14th, 2026
1 Day
11.03%
decreased by 0.23%
1 Week
11.18%
decreased by 0.08%
1 Month
11.71%
increased by 0.45%
Analysis last updated: Tuesday, October 13, 2026 at 10:08 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 9, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 92% more than equivalent positive returns.
μ
AMEM Model
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Leverage: Negative returns increase volatility 92% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0167 | 9.72*** |
| αARCH | 0.1347 | 9.85*** |
| βGARCH | 0.7831 | 80.16*** |
| γleverage | 0.1243 | 5.11*** |
0.980
Persistence34d
Half-lifeμ
AMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0167 | 9.72*** |
α ARCH Response to squared shocks | 0.1347 | 9.85*** |
β GARCH Volatility persistence | 0.7831 | 80.16*** |
γ leverage Additional response to negative shocks | 0.1243 | 5.11*** |
Persistence:
0.980
Half-life:
34 days
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