V-Lab
Pacer S&P 500 Quality FCF R&D Leaders ETF MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
10.25%
1 Week
182,834,116.29%
1 Month
225,745,910,261,958,000,000,000,000,000,000,000,000.00%
Analysis last updated: Saturday, July 25, 2026 at 02:18 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
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 205% 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 | 41 | |
α ARCH Response to squared shocks | 0.7440 | 116.96*** |
β GARCH Volatility persistence | 0.0000 | 0.07 |
γ leverage Additional response to negative shocks | -0.5000 | -71.77*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0000 | 0.02 |
λ₂ forecast adj. Forecast performance sensitivity | 0.3616 | 40.53*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.29 |
Persistence:
0.494
Half-life:
1 days
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