Global X Artfcl ITL & TCH IN MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
37.56%
1 Week
37.72%
1 Month
38.38%
Analysis last updated: Saturday, July 18, 2026 at 09:33 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 15, 2024 to Jul 17, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 82 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: volatility responds almost entirely to positive returns
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 126 | |
α ARCH Response to squared shocks | 0.0328 | 6.44*** |
β GARCH Volatility persistence | 0.9739 | 354.03*** |
γ leverage Additional response to negative shocks | -0.0302 | -3.84*** |
λ₁ tau intercept Baseline long-term coefficient | 0.1836 | 0.58 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1718 | 0.71 |
λ₃ tau persistence Long-term factor persistence | 0.8282 | 3.05*** |
Persistence:
0.992
Half-life:
82 days
Other Global X Artfcl ITL & TCH IN Analyses
Other MF2-GARCH Analyses on ETFs