Horizon Small/Mid Cap Core Equity ETF Asy. Power MEM Volatility Analysis

Model Insight

This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible. The volatility power δ = 0.50 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.