Portfolio Building Block Integrated Oil Gas Exploration & Production Index ETF AGARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
26.62%
increased by 0.01%
1 Week
26.63%
increased by 0.02%
1 Month
26.69%
increased by 0.08%
Analysis last updated: Friday, July 17, 2026 at 10:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 25, 2025 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 38 trading days, meaning a shock loses half its impact after approximately 38 days.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0526 | 3.50*** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9819 | 63.16*** |
γ leverage Additional response to negative shocks | 0.2937 | 0.00 |
Persistence:
0.982
Half-life:
38 days
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