V-Lab
Global X Nasdaq-100 Cove ETF GJR-GARCH Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
23.52%
decreased by 1.09%
1 Week
23.17%
decreased by 1.44%
1 Month
21.98%
decreased by 2.63%
Analysis last updated: Friday, August 7, 2026 at 09:08 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 14, 2011 to Jul 31, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 372% more than equivalent positive returns.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0251 | 12.60*** |
α ARCH Response to squared shocks | 0.0273 | 3.99*** |
β GARCH Volatility persistence | 0.8956 | 219.03*** |
γ leverage Additional response to negative shocks | 0.1017 | 9.48*** |
Persistence:
0.974
Half-life:
26 days
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