Motley Fool Innovative Growth Factor ETF EGARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
12.80%
increased by 0.87%
1 Week
12.76%
increased by 0.83%
1 Month
12.65%
increased by 0.72%
Analysis last updated: Monday, July 20, 2026 at 09:29 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 9, 2025 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 60 trading days, meaning a shock loses half its impact after approximately 60 days.
σ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | -0.0074 | -0.41 |
α ARCH Response to squared shocks | -0.2039 | -8.87*** |
β GARCH Volatility persistence | 0.9885 | 42.74*** |
γ leverage Additional response to negative shocks | -0.0895 | -1.72* |
Persistence:
0.989
Half-life:
60 days
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