First Trust Enhanced Stocks Bonds & Gold ETF Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
19.75%
increased by 1.65%
1 Week
19.80%
increased by 1.70%
1 Month
19.87%
increased by 1.77%
Analysis last updated: Tuesday, July 21, 2026 at 09:40 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 19, 2025 to Jul 17, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 3 trading days.
τ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7313 | 4.11*** |
α ARCH Response to squared shocks | 0.1195 | 1.66* |
β GARCH Volatility persistence | 0.6789 | 3.18*** |
Spline Coefficients
K=1
| γ1 | -6.2417 | -1.46 |
Persistence:
0.798
Half-life:
3 days
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