Principal Focused Blue Chip ETF GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, June 26th, 2026
1 Day
22.28%
decreased by 0.09%
1 Week
22.60%
increased by 0.23%
1 Month
23.83%
increased by 1.46%
Analysis last updated: Friday, June 26, 2026 at 02:15 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0284 | 4.26 | |
| 0.1072 | 3.36 | |
| 0.8865 | 101.31 | |
| 0.0127 | 0.31 |
Estimation Period:
Jul 13, 2023 to Jun 18, 2026
Jul 13, 2023 to Jun 18, 2026
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