State Street SPDR S&P 500 ETF Trust AGARCH Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
11.40%
increased by 1.69%
1 Week
11.94%
increased by 2.23%
1 Month
13.56%
increased by 3.85%
Analysis last updated: Thursday, October 8, 2026 at 09:56 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 29, 1993 to Oct 2, 2026Model Insight
The news-impact curve is shifted (γ = 0.61) 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 | 0.1162 | 7.31*** |
| βGARCH | 0.8513 | 50.70*** |
| γleverage | 0.6074 | 4.66*** |
0.968
Persistence21d
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 | 0.1162 | 7.31*** |
β GARCH Volatility persistence | 0.8513 | 50.70*** |
γ leverage Additional response to negative shocks | 0.6074 | 4.66*** |
Persistence:
0.968
Half-life:
21 days
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