PIMCO Enhanced Low Duration Active ETF Asy. MEM Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
1.55%
decreased by 0.01%
1 Week
1.58%
increased by 0.02%
1 Month
1.69%
increased by 0.13%
Analysis last updated: Monday, July 20, 2026 at 09:44 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 23, 2014 to Jul 17, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 114 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: Positive returns increase volatility 148% more than negative returns
μ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0002 | 5.30*** |
α ARCH Response to squared shocks | 0.0907 | 6.02*** |
β GARCH Volatility persistence | 0.9303 | 132.35*** |
γ leverage Additional response to negative shocks | -0.0541 | -3.21*** |
Persistence:
0.994
Half-life:
114 days
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