Fundstrat Granny Shots US Large Cap & Income ETF GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
14.59%
decreased by 1.60%
1 Week
15.98%
decreased by 0.21%
1 Month
16.73%
increased by 0.54%
Analysis last updated: Tuesday, July 21, 2026 at 09:43 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 18, 2025 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 1 trading day, meaning a shock loses half its impact after approximately 1 day.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4990 | 9.10*** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.3322 | 5.64*** |
γ leverage Additional response to negative shocks | 0.4623 | 4.63*** |
Persistence:
0.563
Half-life:
1 days
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