V-Lab
Innovator Equity Dual Directional 15 Buffer ETF - November GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
3.38%
decreased by 0.15%
1 Week
3.60%
increased by 0.07%
1 Month
4.26%
increased by 0.73%
Analysis last updated: Saturday, July 25, 2026 at 02:15 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 3, 2025 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 26 trading days, meaning a shock loses half its impact after approximately 26 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0043 | 5.00*** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.8299 | 39.23*** |
γ leverage Additional response to negative shocks | 0.2883 | 7.24*** |
Persistence:
0.974
Half-life:
26 days
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