SEI Select Small CAP ETF AGARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
19.90%
increased by 0.52%
1 Week
21.71%
increased by 2.33%
1 Month
22.24%
increased by 2.86%
Analysis last updated: Tuesday, July 21, 2026 at 09:31 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 10, 2024 to Jul 17, 2026Model Insight
The news-impact curve is shifted (γ = 0.22) 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 | 1.3568 | 21.97*** |
α ARCH Response to squared shocks | 0.3115 | 7.28*** |
β GARCH Volatility persistence | 0.0000 | 0.00 |
γ leverage Additional response to negative shocks | 0.2164 | 1.97** |
Persistence:
0.312
Half-life:
1 days
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