V-Lab
Motley Fool Innovative Growth Factor ETF GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
15.64%
decreased by 0.30%
1 Week
15.90%
decreased by 0.04%
1 Month
16.57%
increased by 0.63%
Analysis last updated: Wednesday, August 26, 2026 at 02:17 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 9, 2025 to Aug 21, 2026Model Insight
Volatility shocks decay with a half-life of 11 trading days, meaning a shock loses half its impact after approximately 11 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0788 | 3.61*** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.8842 | 40.41*** |
γ leverage Additional response to negative shocks | 0.1048 | 3.01*** |
Persistence:
0.937
Half-life:
11 days
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