V-Lab
TrueShares Eagle Global Next Gen Power Infrastructure ETF MF2-GARCH Volatility Analysis
Volatility prediction for Thursday, August 6th, 2026
1 Day
15.13%
1 Week
15.77%
1 Month
16.16%
Analysis last updated: Thursday, August 6, 2026 at 02:17 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 9, 2022 to Jul 31, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 122% 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 | 66 | |
α ARCH Response to squared shocks | 0.2063 | 9.29*** |
β GARCH Volatility persistence | 0.5464 | 13.91*** |
γ leverage Additional response to negative shocks | -0.1132 | -4.68*** |
λ₁ tau intercept Baseline long-term coefficient | 0.7828 | 0.28 |
λ₂ forecast adj. Forecast performance sensitivity | 0.2969 | 0.31 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.696
Half-life:
2 days
Other TrueShares Eagle Global Next Gen Power Infrastructure ETF Analyses
Other MF2-GARCH Analyses on ETFs