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V-Lab

SEI Select Small CAP ETF MEM Volatility Analysis

Volatility prediction for Wednesday, July 22nd, 2026

1 Day

18.20%

decreased by 0.45%

1 Week

19.67%

increased by 1.02%

1 Month

21.02%

increased by 2.37%

Analysis last updated: Tuesday, July 21, 2026 at 09:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

All

graph of SEI Select Small CAP ETF MEM

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Oct 11, 2024 to Jul 17, 2026

Model Insight

Volatility shocks decay with a half-life of 2 trading days, meaning a shock loses half its impact after approximately 2 days.

μ

MEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.5016
6.05***
α

ARCH

Response to squared shocks

0.2297
5.71***
β

GARCH

Volatility persistence

0.4987
15.67***

Persistence:

0.728

Half-life:

2 days