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V-Lab

SEI Select Small CAP ETF GARCH Volatility Analysis

Volatility prediction for Wednesday, July 22nd, 2026

1 Day

21.79%

increased by 2.92%

1 Week

22.28%

increased by 3.41%

1 Month

22.43%

increased by 3.56%

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 GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Oct 10, 2024 to Jul 17, 2026

Model Insight

Volatility shocks decay with a half-life of 1 trading day, meaning a shock loses half its impact after approximately 1 day.

σ

GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.3501
22.30***
α

ARCH

Response to squared shocks

0.3269
7.21***
β

GARCH

Volatility persistence

0.0000
0.00

Persistence:

0.327

Half-life:

1 days