Sterling Capital Multi-Strategy Income ETF AGARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
4.17%
increased by 1.29%
1 Week
4.07%
increased by 1.19%
1 Month
3.77%
increased by 0.89%
Analysis last updated: Monday, July 20, 2026 at 09:22 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 11, 2025 to Jul 17, 2026Model Insight
The news-impact curve is shifted (γ = 0.20) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 0.00 |
α ARCH Response to squared shocks | 0.0536 | 4.21*** |
β GARCH Volatility persistence | 0.8895 | 40.21*** |
γ leverage Additional response to negative shocks | 0.2007 | 3.53*** |
Persistence:
0.943
Half-life:
12 days
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