V-Lab
TLT Percentage Price Volatility Index Asy. MEM Volatility Analysis
Volatility prediction for Friday, September 18th, 2026
1 Day
76.16%
decreased by 1.53%
1 Week
76.78%
decreased by 0.91%
1 Month
79.15%
increased by 1.46%
Analysis last updated: Friday, September 18, 2026 at 09:59 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 22, 2015 to Sep 10, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 156 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: Positive returns increase volatility 223% more than negative returns
μ
AMEM Model
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High persistence: persistence 0.996, shock half-life ~156 daysInverse leverage: Positive returns increase volatility 223% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.2915 | 2.32** |
| αARCH | 0.0846 | 4.00*** |
| βGARCH | 0.9402 | 101.52*** |
| γleverage | -0.0584 | -2.35** |
0.996
Persistence156d
Half-lifeμ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2915 | 2.32** |
α ARCH Response to squared shocks | 0.0846 | 4.00*** |
β GARCH Volatility persistence | 0.9402 | 101.52*** |
γ leverage Additional response to negative shocks | -0.0584 | -2.35** |
Persistence:
0.996
Half-life:
156 days
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