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V-Lab

Invesco QQQ Trust Series 1 MF2-GARCH Volatility Analysis

Volatility prediction for Tuesday, July 28th, 2026

1 Day

25.07%

decreased by 1.29%

1 Week

24.98%

decreased by 1.38%

1 Month

24.69%

decreased by 1.67%

Analysis last updated: Monday, July 27, 2026 at 09:22 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 24, 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
176.22***
γ

leverage

Additional response to negative shocks

0.1840
42.11***
λ₁

tau intercept

Baseline long-term coefficient

0.0094
6.92***
λ₂

forecast adj.

Forecast performance sensitivity

0.0425
5.98***
λ₃

tau persistence

Long-term factor persistence

0.9523
123.83***

Persistence:

0.931

Half-life:

10 days