Eventide International ETF EGARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
21.16%
increased by 2.15%
1 Week
21.00%
increased by 1.99%
1 Month
20.57%
increased by 1.56%
Analysis last updated: Monday, July 20, 2026 at 09:39 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 17, 2025 to Jul 17, 2026Model Insight
The leverage effect is captured by the negative gamma (gamma = -0.1485), 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 | 0.0243 | 0.80 |
α ARCH Response to squared shocks | -0.2952 | -1.50 |
β GARCH Volatility persistence | 0.9440 | 205.93*** |
γ leverage Additional response to negative shocks | -0.1485 | -2.17** |
Persistence:
0.944
Half-life:
12 days
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