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V-Lab

iShares Global Clean Energy ETF GJR-GARCH Volatility Analysis

Volatility prediction for Tuesday, July 28th, 2026

1 Day

36.29%

decreased by 1.47%

1 Week

36.17%

decreased by 1.59%

1 Month

35.71%

decreased by 2.05%

Analysis last updated: Monday, July 27, 2026 at 09:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of iShares Global Clean Energy ETF GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jun 24, 2008 to Jul 24, 2026

Model Insight

This asset exhibits a notable leverage effect: negative returns increase next-day volatility 63% more than equivalent positive returns.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0371
15.92***
α

ARCH

Response to squared shocks

0.0553
16.01***
β

GARCH

Volatility persistence

0.9168
384.09***
γ

leverage

Additional response to negative shocks

0.0348
5.58***

Persistence:

0.990

Half-life:

66 days