V-Lab
Ishares Ethereum Trust ETF GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
67.10%
decreased by 0.16%
1 Week
67.68%
increased by 0.42%
1 Month
68.98%
increased by 1.72%
Analysis last updated: Friday, July 24, 2026 at 09:51 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 23, 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 | 1.8276 | 2.02** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.8931 | 19.49*** |
γ leverage Additional response to negative shocks | 0.0282 | 1.45 |
Persistence:
0.907
Half-life:
7 days
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