Skip to main content
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

Date Range:

from

to

6M ·

1Y ·

2Y ·

All

graph of CIBC MSCI Emerging Markets Equity Index ETF AGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Sep 17, 2021 to Aug 14, 2026

Model 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

ParameterValuet-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