Wilshire 5000 Total Market Index Asy. MEM Volatility Analysis
Volatility prediction for Friday, July 10th, 2026
1 Day
13.73%
decreased by 1.30%
1 Week
13.88%
decreased by 1.15%
1 Month
14.38%
decreased by 0.65%
Analysis last updated: Sunday, July 12, 2026 at 08:03 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 31, 2009 to Jan 2, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 282% more than equivalent positive returns.
μ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0308 | 26.31*** |
α ARCH Response to squared shocks | 0.0868 | 9.85*** |
β GARCH Volatility persistence | 0.7613 | 128.26*** |
γ leverage Additional response to negative shocks | 0.2447 | 22.03*** |
Persistence:
0.971
Half-life:
23 days
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