ReposiTrak Inc Asy. Power MEM Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
42.45%
1 Week
43.37%
1 Month
46.81%
Analysis last updated: Tuesday, July 14, 2026 at 09:53 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 2, 1998 to Jul 10, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 352 trading days (~1.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 2.16 sits above 2, so large shocks influence volatility more than quadratically, dominating the response more than in standard GARCH.
APMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2169 | 10.90*** |
α ARCH Response to squared shocks | 0.0950 | 19.10*** |
β GARCH Volatility persistence | 0.8970 | 250.97*** |
γ leverage Additional response to negative shocks | 0.0217 | 2.22** |
δ power Transformation power | 2.1612 | 37.04*** |
Persistence:
0.998
Half-life:
352 days
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