V-Lab
Hedgeye Fourth Turning ETF MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
1.77%
decreased by 0.03%
1 Week
1.74%
decreased by 0.06%
1 Month
1.47%
decreased by 0.33%
Analysis last updated: Friday, August 21, 2026 at 10:27 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 21, 2025 to Aug 21, 2026σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 51 | |
α ARCH Response to squared shocks | 0.0000 | 0.01 |
β GARCH Volatility persistence | 0.0813 | 3.92*** |
γ leverage Additional response to negative shocks | 0.0084 | 0.08 |
λ₁ tau intercept Baseline long-term coefficient | 0.0031 | 0.08 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0429 | 0.08 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.086
Half-life:
0 days
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