V-Lab
21Shares Solana ETF AGARCH Volatility Analysis
Volatility prediction for Tuesday, August 11th, 2026
1 Day
52.54%
decreased by 1.79%
1 Week
59.46%
increased by 5.13%
1 Month
64.40%
increased by 10.07%
Analysis last updated: Monday, August 10, 2026 at 09:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 19, 2025 to Aug 7, 2026Model Insight
The news-impact curve is shifted (γ = 1.88) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.1334 | 13.42*** |
α ARCH Response to squared shocks | 0.1856 | 10.82*** |
β GARCH Volatility persistence | 0.4814 | 33.83*** |
γ leverage Additional response to negative shocks | 1.8767 | 6.41*** |
Persistence:
0.667
Half-life:
2 days
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