V-Lab
Pacer S&P 500 Quality FCF R&D Leaders ETF EGARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
20.98%
decreased by 0.21%
1 Week
19.82%
decreased by 1.37%
1 Month
19.44%
decreased by 1.75%
Analysis last updated: Saturday, July 25, 2026 at 02:17 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 14, 2026 to Jul 24, 2026Model Insight
The leverage effect is captured by the negative gamma (gamma = -0.1904), confirming that negative shocks increase volatility more than positive shocks of equal magnitude.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2575 | 3.87*** |
α ARCH Response to squared shocks | -0.2871 | -6.38*** |
β GARCH Volatility persistence | 0.3436 | 4.26*** |
γ leverage Additional response to negative shocks | -0.1904 | -3.56*** |
Persistence:
0.344
Half-life:
1 days
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