PIMCO Enhanced Low Duration Active ETF EGARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
1.82%
decreased by 0.02%
1 Week
1.86%
increased by 0.02%
1 Month
2.00%
increased by 0.16%
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
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 26% more than equivalent positive returns.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | -0.1209 | -20.38*** |
α ARCH Response to squared shocks | 0.2686 | 21.79*** |
β GARCH Volatility persistence | 0.9667 | 685.15*** |
γ leverage Additional response to negative shocks | -0.0306 | -2.01** |
Persistence:
0.967
Half-life:
20 days
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