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V-Lab

Invesco QQQ Trust Series 1 MF2-GARCH Volatility Analysis

Volatility prediction for Wednesday, July 22nd, 2026

1 Day

25.36%

decreased by 1.10%

1 Week

25.31%

decreased by 1.15%

1 Month

25.20%

decreased by 1.26%

Analysis last updated: Tuesday, July 21, 2026 at 09:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Invesco QQQ Trust Series 1 MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Mar 10, 1999 to Jul 17, 2026

Model Insight

This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.

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

0.8386
176.13***
γ

leverage

Additional response to negative shocks

0.1841
42.10***
λ₁

tau intercept

Baseline long-term coefficient

0.0094
6.91***
λ₂

forecast adj.

Forecast performance sensitivity

0.0427
5.95***
λ₃

tau persistence

Long-term factor persistence

0.9521
122.85***

Persistence:

0.931

Half-life:

10 days