Defined Duration 5 ETF GARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
2.65%
decreased by 0.07%
1 Week
2.67%
decreased by 0.05%
1 Month
2.74%
increased by 0.02%
Analysis last updated: Tuesday, July 21, 2026 at 09:18 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 13, 2025 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 41 trading days, meaning a shock loses half its impact after approximately 41 days.
σ
GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0007 | 3.33*** |
α ARCH Response to squared shocks | 0.0754 | 5.75*** |
β GARCH Volatility persistence | 0.9077 | 63.45*** |
Persistence:
0.983
Half-life:
41 days
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