Xtrackers S&P 100 Ex Top 20 ETF EGARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
10.70%
increased by 0.57%
1 Week
11.06%
increased by 0.93%
1 Month
11.91%
increased by 1.78%
Analysis last updated: Saturday, October 17, 2026 at 02:17 AM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 28, 2022 to Oct 16, 2026Model Insight
The leverage effect is captured by the negative gamma (gamma = -0.1514), confirming that negative shocks increase volatility more than positive shocks of equal magnitude.
σ
EGARCH Model
Tap to view equation
Asymmetry: Negative shocks have larger impact on volatility (leverage effect)
| Param | Value | t-stat |
|---|---|---|
| ωconst | -0.0401 | -0.86 |
| αARCH | 0.1216 | 1.55 |
| βGARCH | 0.9038 | 15.83*** |
| γleverage | -0.1514 | -1.97** |
0.904
Persistence7d
Half-lifeσ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | -0.0401 | -0.86 |
α ARCH Response to squared shocks | 0.1216 | 1.55 |
β GARCH Volatility persistence | 0.9038 | 15.83*** |
γ leverage Additional response to negative shocks | -0.1514 | -1.97** |
Persistence:
0.904
Half-life:
7 days
Other Xtrackers S&P 100 Ex Top 20 ETF Analyses
Other EGARCH Analyses on ETFs