V-Lab
Principal Focused Blue Chip ETF AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Tuesday, September 8th, 2026
1 Day
16.60%
decreased by 0.02%
1 Week
17.18%
increased by 0.56%
1 Month
19.46%
increased by 2.84%
Analysis last updated: Friday, September 4, 2026 at 09:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 13, 2023 to Sep 4, 2026Model Insight
Estimated persistence of 1.010 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
Tap to view equation
High persistence: persistence 1.010 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0237 | 0.77 |
| αARCH | 0.1393 | 2.13** |
| βGARCH | 0.8707 | 17.31*** |
| γleverage | 0.1645 | 0.62 |
1.010
Persistence-
Half-lifeσ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0237 | 0.77 |
α ARCH Response to squared shocks | 0.1393 | 2.13** |
β GARCH Volatility persistence | 0.8707 | 17.31*** |
γ leverage Additional response to negative shocks | 0.1645 | 0.62 |
Persistence:
1.010
Half-life:
-
Other Principal Focused Blue Chip ETF Analyses
Other AGARCH Analyses on ETFs