V-Lab
XP Corporate Macae Fundo DE AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Thursday, October 1st, 2026
1 Day
12.81%
decreased by 0.12%
1 Week
14.95%
increased by 2.02%
1 Month
21.79%
increased by 8.86%
Analysis last updated: Thursday, October 1, 2026 at 10:31 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 8, 2013 to Sep 25, 2026Model Insight
Estimated persistence of 1.008 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.
σ
AGARCH Model
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High persistence: persistence 1.008 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0978 | 3.10*** |
| αARCH | 0.2307 | 7.21*** |
| βGARCH | 0.7775 | 34.90*** |
| γleverage | -0.2463 | -0.97 |
1.008
Persistence-
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0978 | 3.10*** |
α ARCH Response to squared shocks | 0.2307 | 7.21*** |
β GARCH Volatility persistence | 0.7775 | 34.90*** |
γ leverage Additional response to negative shocks | -0.2463 | -0.97 |
Persistence:
1.008
Half-life:
-
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