Invesco Bloomberg Enhanced Fallen Angels ETF AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, July 15th, 2026
1 Day
5.56%
increased by 1.64%
1 Week
5.66%
increased by 1.74%
1 Month
6.08%
increased by 2.16%
Analysis last updated: Tuesday, July 14, 2026 at 09:43 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 15, 2007 to Jul 10, 2026Model Insight
Estimated persistence of 1.001 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Asymmetry: negative returns raise volatility more
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 0.01 |
α ARCH Response to squared shocks | 0.1290 | 24.91*** |
β GARCH Volatility persistence | 0.8720 | 205.14*** |
γ leverage Additional response to negative shocks | 0.1326 | 20.17*** |
Persistence:
1.001
Half-life:
-
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