Urbana Corp AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Tuesday, July 21st, 2026
1 Day
29.64%
1 Week
33.92%
1 Month
48.79%
Analysis last updated: Tuesday, July 21, 2026 at 12:25 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 24, 1990 to Jul 17, 2026Model Insight
Estimated persistence of 1.018 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.
Asymmetry: negative returns raise volatility more
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3269 | 13.96*** |
α ARCH Response to squared shocks | 0.2553 | 31.38*** |
β GARCH Volatility persistence | 0.7628 | 159.42*** |
γ leverage Additional response to negative shocks | 0.7406 | 11.19*** |
Persistence:
1.018
Half-life:
-
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