YieldMax TSLA Performance & Distribution Target 25 ETF APARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
37.47%
increased by 0.65%
1 Week
37.09%
increased by 0.27%
1 Month
36.16%
decreased by 0.66%
Analysis last updated: Monday, July 20, 2026 at 09:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 18, 2025 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 8 trading days, meaning a shock loses half its impact after approximately 8 days. The volatility power δ = 2.62 sits above 2, so large shocks influence volatility more than quadratically, dominating the response more than in standard GARCH.
σ
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6445 | 1.46 |
α ARCH Response to squared shocks | 0.0139 | 0.00 |
β GARCH Volatility persistence | 0.8621 | 13.70*** |
γ leverage Additional response to negative shocks | 0.9999 | 0.00 |
δ power Transformation power | 2.6170 | 6.56*** |
Persistence:
0.918
Half-life:
8 days
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