V-Lab
Invesco Bloomberg Enhanced Fallen Angels ETF GJR-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
3.56%
1 Week
3.65%
1 Month
3.98%
Analysis last updated: Friday, August 14, 2026 at 10:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 15, 2007 to Aug 14, 2026Model Insight
Estimated persistence of 1.000 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.
Leverage: volatility responds almost entirely to negative shocks
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0012 | 12.66*** |
α ARCH Response to squared shocks | 0.0333 | 10.67*** |
β GARCH Volatility persistence | 0.8958 | 264.80*** |
γ leverage Additional response to negative shocks | 0.1418 | 14.98*** |
Persistence:
1.000
Half-life:
-
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