Twin Oak Strategic Solutions ETF Asy. Power MEM Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
72.53%
decreased by 1.25%
1 Week
80.00%
increased by 6.22%
1 Month
97.86%
increased by 24.08%
Analysis last updated: Tuesday, July 21, 2026 at 09:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 6, 2026 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 9 trading days, meaning a shock loses half its impact after approximately 9 days. The volatility power δ = 1.26 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
μ
APMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0000 | 6.10*** |
α ARCH Response to squared shocks | 0.0898 | 0.21 |
β GARCH Volatility persistence | 0.8338 | 12.88*** |
γ leverage Additional response to negative shocks | 1.0000 | 0.14 |
δ power Transformation power | 1.2574 | 5.77*** |
Persistence:
0.922
Half-life:
9 days
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