Hartford Alpha Capture Value ETF MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
11.58%
increased by 0.18%
1 Week
11.99%
increased by 0.59%
1 Month
12.39%
increased by 0.99%
Analysis last updated: Wednesday, July 15, 2026 at 02:14 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 16, 2023 to Jul 10, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 26 | |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.6620 | 20.38*** |
γ leverage Additional response to negative shocks | 0.2205 | 8.47*** |
λ₁ tau intercept Baseline long-term coefficient | 0.5155 | 0.09 |
λ₂ forecast adj. Forecast performance sensitivity | 0.2184 | 0.11 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.772
Half-life:
3 days
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