V-Lab
Defiance S&P 500 TRG Inc ETF GARCH Volatility Analysis
Volatility prediction for Thursday, August 20th, 2026
1 Day
10.55%
decreased by 0.34%
1 Week
11.05%
increased by 0.16%
1 Month
12.21%
increased by 1.32%
Analysis last updated: Wednesday, August 19, 2026 at 09:43 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 7, 2024 to Aug 14, 2026Model Insight
Volatility shocks decay with a half-life of 9 trading days, meaning a shock loses half its impact after approximately 9 days.
σ
GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0567 | 6.05*** |
α ARCH Response to squared shocks | 0.1190 | 6.65*** |
β GARCH Volatility persistence | 0.8049 | 32.69*** |
Persistence:
0.924
Half-life:
9 days
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