V-Lab
BMO Equal Weight US BKS Indx EGARCH Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
22.81%
increased by 2.07%
1 Week
23.18%
increased by 2.44%
1 Month
24.28%
increased by 3.54%
Analysis last updated: Friday, August 7, 2026 at 09:09 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 17, 2014 to Jul 31, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 366% more than equivalent positive returns.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0559 | 8.04*** |
α ARCH Response to squared shocks | 0.1924 | 21.14*** |
β GARCH Volatility persistence | 0.9461 | 275.20*** |
γ leverage Additional response to negative shocks | -0.1244 | -16.21*** |
Persistence:
0.946
Half-life:
13 days
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