V-Lab
Innovator Equity Dual Directional 15 Buffer ETF - November EGARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
3.34%
decreased by 0.13%
1 Week
3.53%
increased by 0.06%
1 Month
4.13%
increased by 0.66%
Analysis last updated: Saturday, August 8, 2026 at 02:14 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 3, 2025 to Aug 7, 2026Model Insight
The leverage effect is captured by the negative gamma (gamma = -0.2194), confirming that negative shocks increase volatility more than positive shocks of equal magnitude.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | -0.1347 | -5.65*** |
α ARCH Response to squared shocks | 0.1027 | 5.35*** |
β GARCH Volatility persistence | 0.9382 | 58.93*** |
γ leverage Additional response to negative shocks | -0.2194 | -18.87*** |
Persistence:
0.938
Half-life:
11 days
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