V-Lab
Warehouses De Pauw CVA Asy. Power MEM Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
18.80%
1 Week
19.05%
1 Month
19.81%
Analysis last updated: Thursday, October 1, 2026 at 06:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 10, 2026 to Sep 25, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 149% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets. The volatility power δ = 1.01 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 | 0.0598 | 0.77 |
| αARCH | 0.1819 | 2.70*** |
| βGARCH | 0.8113 | 9.62*** |
| γleverage | -0.4254 | -2.51** |
| δpower | 1.0057 | 1.24 |
0.957
Persistence16d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0598 | 0.77 |
α ARCH Response to squared shocks | 0.1819 | 2.70*** |
β GARCH Volatility persistence | 0.8113 | 9.62*** |
γ leverage Additional response to negative shocks | -0.4254 | -2.51** |
δ power Transformation power | 1.0057 | 1.24 |
Persistence:
0.957
Half-life:
16 days
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