V-Lab
Amplify HACK Cybersecurity Covered Call ETF AGARCH Volatility Analysis
Volatility prediction for Wednesday, August 19th, 2026
1 Day
28.02%
decreased by 3.99%
1 Week
30.53%
decreased by 1.48%
1 Month
31.12%
decreased by 0.89%
Analysis last updated: Wednesday, August 19, 2026 at 02:22 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 21, 2026 to Aug 14, 2026Model Insight
The news-impact curve is shifted (γ = 0.37) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.1078 | 17.46*** |
α ARCH Response to squared shocks | 0.1943 | 6.89*** |
β GARCH Volatility persistence | 0.0000 | 0.00 |
γ leverage Additional response to negative shocks | 0.3675 | 2.38** |
Persistence:
0.194
Half-life:
0 days
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