V-Lab
FTSE 100 Index Asy. Power MEM Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
10.34%
1 Week
10.20%
1 Month
9.79%
Analysis last updated: Monday, September 28, 2026 at 05:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Sep 25, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 70% more than equivalent positive returns. The volatility power δ = 1.07 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APMEM Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0268 | 8.62*** |
| αARCH | 0.1744 | 16.68*** |
| βGARCH | 0.8098 | 71.92*** |
| γleverage | 0.2424 | 7.36*** |
| δpower | 1.0679 | 8.39*** |
0.950
Persistence13d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0268 | 8.62*** |
α ARCH Response to squared shocks | 0.1744 | 16.68*** |
β GARCH Volatility persistence | 0.8098 | 71.92*** |
γ leverage Additional response to negative shocks | 0.2424 | 7.36*** |
δ power Transformation power | 1.0679 | 8.39*** |
Persistence:
0.950
Half-life:
13 days
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