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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 24, 2008 to Jul 24, 2026Model 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
| Parameter | Value | t-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
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