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V-Lab

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

Date Range:

from

to

6M ·

All

graph of Sterling Capital Multi-Strategy Income ETF AGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Dec 11, 2025 to Jul 17, 2026

Model 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

ParameterValuet-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