Skip to main content
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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of BMO Equal Weight US BKS Indx EGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Feb 17, 2014 to Jul 31, 2026

Model 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

ParameterValuet-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