V-Lab
Global X Artfcl ITL & TCH IN MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
38.13%
increased by 0.84%
1 Week
38.18%
increased by 0.89%
1 Month
38.84%
increased by 1.55%
Analysis last updated: Saturday, July 25, 2026 at 09:04 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 15, 2024 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 1 trading day, meaning a shock loses half its impact after approximately 1 day.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 96 | |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.5528 | 5.00*** |
γ leverage Additional response to negative shocks | 0.0718 | 0.67 |
λ₁ tau intercept Baseline long-term coefficient | 0.1642 | 0.17 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1857 | 0.22 |
λ₃ tau persistence Long-term factor persistence | 0.8143 | 0.85 |
Persistence:
0.589
Half-life:
1 days
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