S&P 500 Equal Weight Index (EWI) Asy. Power MEM Volatility Analysis
Volatility prediction for Thursday, October 15th, 2026
1 Day
9.50%
1 Week
9.54%
1 Month
9.66%
Analysis last updated: Wednesday, October 14, 2026 at 11:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 25, 2003 to Oct 9, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 80% more than equivalent positive returns. The volatility power δ = 1.11 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APMEM Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0320 | 7.61*** |
| αARCH | 0.2087 | 15.70*** |
| βGARCH | 0.7775 | 56.60*** |
| γleverage | 0.2590 | 7.73*** |
| δpower | 1.1056 | 7.17*** |
0.946
Persistence12d
Half-lifeAPMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0320 | 7.61*** |
α ARCH Response to squared shocks | 0.2087 | 15.70*** |
β GARCH Volatility persistence | 0.7775 | 56.60*** |
γ leverage Additional response to negative shocks | 0.2590 | 7.73*** |
δ power Transformation power | 1.1056 | 7.17*** |
Persistence:
0.946
Half-life:
12 days
Other S&P 500 Equal Weight Index (EWI) Analyses
Other Asy. Power MEM Analyses on Equity Indices