PIMCO Enhanced Low Duration Active ETF Asy. Power MEM Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
1.47%
1 Week
1.51%
1 Month
1.63%
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 0.998, volatility shocks have a half-life of 334 trading days (~1.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 2.36 sits above 2, so large shocks influence volatility more than quadratically, dominating the response more than in standard GARCH.
Inverse leverage: Positive returns increase volatility 266% more than negative returns
APMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0001 | 3.18*** |
α ARCH Response to squared shocks | 0.0562 | 8.42*** |
β GARCH Volatility persistence | 0.9256 | 158.17*** |
γ leverage Additional response to negative shocks | -0.2684 | -9.85*** |
δ power Transformation power | 2.3564 | 19.17*** |
Persistence:
0.998
Half-life:
334 days
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