abrdn Physical Gold Shares ETF MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
22.09%
1 Week
22.79%
1 Month
23.77%
Analysis last updated: Monday, July 20, 2026 at 09:49 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 14, 2009 to Jul 17, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 61% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 111 | |
α ARCH Response to squared shocks | 0.0926 | 13.83*** |
β GARCH Volatility persistence | 0.7675 | 42.56*** |
γ leverage Additional response to negative shocks | -0.0351 | -2.25** |
λ₁ tau intercept Baseline long-term coefficient | 0.3244 | 0.08 |
λ₂ forecast adj. Forecast performance sensitivity | 0.7222 | 0.08 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.842
Half-life:
4 days
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