S&P 500 Equal Weight Index (EWI) AGARCH Volatility Analysis
Volatility prediction for Thursday, October 15th, 2026
1 Day
11.88%
increased by 1.99%
1 Week
12.22%
increased by 2.33%
1 Month
13.30%
increased by 3.41%
Analysis last updated: Wednesday, October 14, 2026 at 11:02 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
The news-impact curve is shifted (γ = 0.56) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
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Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0000 | 0.00 |
| αARCH | 0.0966 | 11.19*** |
| βGARCH | 0.8788 | 91.10*** |
| γleverage | 0.5600 | 9.47*** |
0.975
Persistence28d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 0.00 |
α ARCH Response to squared shocks | 0.0966 | 11.19*** |
β GARCH Volatility persistence | 0.8788 | 91.10*** |
γ leverage Additional response to negative shocks | 0.5600 | 9.47*** |
Persistence:
0.975
Half-life:
28 days
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