V-Lab
REX AI EQ Premium Income ETF GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
19.46%
decreased by 0.01%
1 Week
19.46%
decreased by 0.01%
1 Month
19.44%
decreased by 0.03%
Analysis last updated: Friday, July 24, 2026 at 09:48 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 4, 2024 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 7 trading days, meaning a shock loses half its impact after approximately 7 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1451 | 10.21*** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.7546 | 39.19*** |
γ leverage Additional response to negative shocks | 0.2970 | 8.61*** |
Persistence:
0.903
Half-life:
7 days
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