V-Lab
TrueShares Eagle Global Next Gen Power Infrastructure ETF MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
15.19%
1 Week
15.38%
1 Month
15.71%
Analysis last updated: Wednesday, August 26, 2026 at 02:15 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 9, 2022 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 119% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 31 | |
α ARCH Response to squared shocks | 0.1914 | 7.70*** |
β GARCH Volatility persistence | 0.5398 | 7.14*** |
γ leverage Additional response to negative shocks | -0.1039 | -4.45*** |
λ₁ tau intercept Baseline long-term coefficient | 0.7449 | 0.05 |
λ₂ forecast adj. Forecast performance sensitivity | 0.3063 | 0.05 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.679
Half-life:
2 days
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