V-Lab
Global X Nasdaq-100 Cove ETF GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
16.43%
decreased by 0.73%
1 Week
16.38%
decreased by 0.78%
1 Month
16.23%
decreased by 0.93%
Analysis last updated: Saturday, August 22, 2026 at 01:51 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 14, 2011 to Aug 21, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 393% more than equivalent positive returns.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0255 | 12.67*** |
α ARCH Response to squared shocks | 0.0265 | 3.93*** |
β GARCH Volatility persistence | 0.8947 | 216.27*** |
γ leverage Additional response to negative shocks | 0.1042 | 9.94*** |
Persistence:
0.973
Half-life:
26 days
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