V-Lab
iShares Global Clean Energy ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
35.68%
decreased by 2.08%
1 Week
35.62%
decreased by 2.14%
1 Month
35.40%
decreased by 2.36%
Analysis last updated: Monday, July 27, 2026 at 09:22 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 24, 2008 to Jul 24, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 78 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 8.10 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.0929 | 5.42*** |
α ARCH Response to squared shocks | 0.0770 | 32.21*** |
β GARCH Volatility persistence | 0.9912 | 588.59*** |
ν DF Student-t tail thickness | 8.0953 | 4.55*** |
Persistence:
0.991
Half-life:
78 days
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