State Street SPDR S&P 500 ETF Trust MEM Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Thursday, July 16th, 2026
1 Day
7.80%
decreased by 0.01%
1 Week
10.69%
increased by 2.88%
1 Month
18.11%
increased by 10.30%
Analysis last updated: Wednesday, July 15, 2026 at 10:08 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 15, 2004 to Jul 10, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
μ
MEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1061 | 4.15*** |
α ARCH Response to squared shocks | 0.5878 | 16.97*** |
β GARCH Volatility persistence | 0.4122 | 17.86*** |
Persistence:
1.000
Half-life:
-
Other State Street SPDR S&P 500 ETF Trust Analyses
Other MEM Analyses on ETFs