V-Lab
CIBC MSCI Emerging Markets Equity Index ETF AGARCH Volatility Analysis
Volatility prediction for Wednesday, August 19th, 2026
1 Day
24.25%
increased by 0.49%
1 Week
24.43%
increased by 0.67%
1 Month
25.05%
increased by 1.29%
Analysis last updated: Wednesday, August 19, 2026 at 09:04 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 17, 2021 to Aug 14, 2026Model Insight
The news-impact curve is shifted (γ = 0.21) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0625 | 7.97*** |
α ARCH Response to squared shocks | 0.1265 | 15.83*** |
β GARCH Volatility persistence | 0.8520 | 97.58*** |
γ leverage Additional response to negative shocks | 0.2066 | 4.27*** |
Persistence:
0.979
Half-life:
32 days
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