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V-Lab

Pacer S&P 500 Quality FCF High Dividend ETF MF2-GARCH Volatility Analysis

Volatility prediction for Monday, August 24th, 2026

1 Day

6.60%

decreased by 0.02%

1 Week

6.47%

decreased by 0.15%

1 Month

5.37%

decreased by 1.25%

Analysis last updated: Saturday, August 22, 2026 at 02:18 AM UTC

Date Range:

from

to

6M ·

All

graph of Pacer S&P 500 Quality FCF High Dividend ETF MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 14, 2026 to Aug 21, 2026

Model Insight

Volatility shocks decay with a half-life of 1 trading day, meaning a shock loses half its impact after approximately 1 day.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

31
α

ARCH

Response to squared shocks

0.0000
0.00
β

GARCH

Volatility persistence

0.2590
0.00
γ

leverage

Additional response to negative shocks

0.0000
0.00
λ₁

tau intercept

Baseline long-term coefficient

0.0000
0.00
λ₂

forecast adj.

Forecast performance sensitivity

0.3236
0.00
λ₃

tau persistence

Long-term factor persistence

0.0453
0.00

Persistence:

0.259

Half-life:

1 days