{
  "timestamp": "2026-10-09T08:05:59Z",
  "epoch": 1791533159,
  "source": "NYU Stern Volatility and Risk Institute (V-Lab v0.12.4)",
  "methodology": "Engle (2002, 2023), Brownlees & Engle (2017), Amihud (2002)",
  "covol": {
    "title": "Common Volatility Stress Factor (PC1)",
    "systematic_score": 41.125,
    "percentile_rank": 0.7298,
    "stress_level": "MODERATE",
    "pc1_variance_explained": 0.6431,
    "acav": 11.959,
    "loadings": {
      "oil_gas": 0.7451,
      "country": 0.4274,
      "commodities": 0.4001,
      "asset_class": 0.3194
    },
    "macro_execution_corridor": "STANDARD_PRUDENT"
  },
  "gjr_garch_forecasts": {
    "SPY": {
      "model": "GJR-GARCH",
      "current_vol": 0.1146,
      "forecast_1d": 0.1148,
      "forecast_5d": 0.1175,
      "forecast_22d": 0.122,
      "forecast_252d": 0.141,
      "persistence": 0.9842,
      "half_life_days": 43.5
    },
    "QQQ": {
      "model": "GJR-GARCH",
      "current_vol": 0.1678,
      "forecast_1d": 0.168,
      "forecast_5d": 0.171,
      "forecast_22d": 0.175,
      "forecast_252d": 0.189,
      "persistence": 0.9785,
      "half_life_days": 31.9
    },
    "NVDA": {
      "model": "GJR-GARCH",
      "current_vol": 0.448,
      "forecast_1d": 0.442,
      "forecast_5d": 0.435,
      "forecast_22d": 0.418,
      "forecast_252d": 0.385,
      "persistence": 0.965,
      "half_life_days": 19.4
    },
    "TSM": {
      "model": "GJR-GARCH",
      "current_vol": 0.342,
      "forecast_1d": 0.341,
      "forecast_5d": 0.338,
      "forecast_22d": 0.325,
      "forecast_252d": 0.301,
      "persistence": 0.971,
      "half_life_days": 23.6
    }
  },
  "long_run_var": {
    "SPY": {
      "var_30d_p1": -0.1148,
      "var_30d_p5": -0.0659,
      "var_365d_p1": -0.4753,
      "var_365d_p5": -0.2814
    },
    "QQQ": {
      "var_30d_p1": -0.1582,
      "var_30d_p5": -0.0912,
      "var_365d_p1": -0.521,
      "var_365d_p5": -0.324
    }
  },
  "liquidity_amihud": {
    "illiq_composite": 11.7038,
    "status": "LIQUID_NOMINAL",
    "heating_sectors_count": 0,
    "alert": "NO_LIQUIDITY_DETERIORATION"
  }
}