V-Lab
REX HOOD Growth & Income ETF AGARCH Volatility Analysis
Inactive
Last recorded values (Wednesday, June 10th, 2026):
1 Day
65.98%
1 Week
68.63%
1 Month
69.23%
Analysis last updated: Wednesday, June 10, 2026 at 02:16 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 4, 2025 to Jun 5, 2026Model Insight
The news-impact curve is shifted (γ = 3.57) 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 | 15.0000 | 21.17*** |
α ARCH Response to squared shocks | 0.1225 | 5.55*** |
β GARCH Volatility persistence | 0.0112 | 4.82*** |
γ leverage Additional response to negative shocks | 3.5697 | 5.21*** |
Persistence:
0.134
Half-life:
0 days
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