V-Lab
Innovator Growth-100 Dual Directional 5 Buffer ETF - Quarterly AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, August 19th, 2026
1 Day
26.54%
1 Week
30.47%
1 Month
58.08%
Analysis last updated: Wednesday, August 19, 2026 at 02:15 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2026 to Aug 14, 2026Model Insight
Estimated persistence of 1.135 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.
Asymmetry: negative returns raise volatility more
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 0.00 |
α ARCH Response to squared shocks | 0.5572 | 16.97*** |
β GARCH Volatility persistence | 0.5775 | 27.06*** |
γ leverage Additional response to negative shocks | 0.1488 | 6.37*** |
Persistence:
1.135
Half-life:
-
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