S&P/TSX 60 Index Asy. MEM Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
10.03%
decreased by 0.41%
1 Week
10.22%
decreased by 0.22%
1 Month
10.88%
increased by 0.44%
Analysis last updated: Friday, October 30, 2026 at 08:54 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 23, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 77% more than equivalent positive returns.
μ
AMEM Model
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Leverage: Negative returns increase volatility 77% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0130 | 8.78*** |
| αARCH | 0.1447 | 10.72*** |
| βGARCH | 0.7864 | 84.50*** |
| γleverage | 0.1113 | 4.87*** |
0.987
Persistence52d
Half-lifeμ
AMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0130 | 8.78*** |
α ARCH Response to squared shocks | 0.1447 | 10.72*** |
β GARCH Volatility persistence | 0.7864 | 84.50*** |
γ leverage Additional response to negative shocks | 0.1113 | 4.87*** |
Persistence:
0.987
Half-life:
52 days
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