V-Lab
S&P 500 Index AGARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
13.53%
increased by 1.00%
1 Week
13.79%
increased by 1.26%
1 Month
14.61%
increased by 2.08%
Analysis last updated: Friday, September 11, 2026 at 12:35 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Sep 4, 2026Model Insight
The news-impact curve is shifted (γ = 0.59) 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 | 0.1063 | 7.87*** |
| βGARCH | 0.8627 | 59.84*** |
| γleverage | 0.5904 | 4.74*** |
0.969
Persistence22d
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 | 0.1063 | 7.87*** |
β GARCH Volatility persistence | 0.8627 | 59.84*** |
γ leverage Additional response to negative shocks | 0.5904 | 4.74*** |
Persistence:
0.969
Half-life:
22 days
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