Pacer Metaurus Nq100 DIV 600 GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
21.28%
decreased by 1.07%
1 Week
21.03%
decreased by 1.32%
1 Month
20.32%
decreased by 2.03%
Analysis last updated: Tuesday, July 14, 2026 at 09:29 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 24, 2024 to Jul 10, 2026Model Insight
Volatility shocks decay with a half-life of 11 trading days, meaning a shock loses half its impact after approximately 11 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0887 | 4.88*** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.8617 | 47.14*** |
γ leverage Additional response to negative shocks | 0.1525 | 3.60*** |
Persistence:
0.938
Half-life:
11 days
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