V-Lab
SEI Select Small CAP ETF AGARCH Volatility Analysis
Volatility prediction for Wednesday, September 16th, 2026
1 Day
21.08%
increased by 0.79%
1 Week
21.07%
increased by 0.78%
1 Month
21.04%
increased by 0.75%
Analysis last updated: Wednesday, September 16, 2026 at 02:37 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 10, 2024 to Sep 11, 2026Model Insight
The news-impact curve is shifted (γ = 1.43) 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
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Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0000 | 0.00 |
| αARCH | 0.0571 | 2.08** |
| βGARCH | 0.8759 | 19.58*** |
| γleverage | 1.4328 | 3.06*** |
0.933
Persistence10d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 0.00 |
α ARCH Response to squared shocks | 0.0571 | 2.08** |
β GARCH Volatility persistence | 0.8759 | 19.58*** |
γ leverage Additional response to negative shocks | 1.4328 | 3.06*** |
Persistence:
0.933
Half-life:
10 days
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