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V-Lab

Hedgeye Fourth Turning ETF MF2-GARCH Volatility Analysis

High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful

Volatility prediction for Monday, August 17th, 2026

1 Day

2.73%

decreased by 0.42%

1 Week

2.57%

decreased by 0.58%

1 Month

2.19%

decreased by 0.96%

Analysis last updated: Saturday, August 15, 2026 at 02:30 AM UTC

Date Range:

from

to

6M ·

All

graph of Hedgeye Fourth Turning ETF MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Nov 21, 2025 to Aug 14, 2026

Model Insight

With persistence 1.000, volatility shocks have a half-life of 1386294 trading days (~5501.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

46
α

ARCH

Response to squared shocks

0.0000
0.01
β

GARCH

Volatility persistence

0.9913
356.20***
γ

leverage

Additional response to negative shocks

0.0174
1.05
λ₁

tau intercept

Baseline long-term coefficient

0.0000
0.00
λ₂

forecast adj.

Forecast performance sensitivity

0.0891
1.89*
λ₃

tau persistence

Long-term factor persistence

0.2626
1.21

Persistence:

1.000

Half-life:

1386294 days