Janus Henderson B-BBB CLO ETF GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Tuesday, October 20th, 2026
1 Day
2.91%
1 Week
3.07%
1 Month
3.61%
Analysis last updated: Tuesday, October 20, 2026 at 02:18 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 12, 2022 to Oct 16, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Leverage: volatility responds almost entirely to negative shocks
GJR-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0018 | 2.46** |
| αARCH | 0.0450 | 1.57 |
| βGARCH | 0.8600 | 30.76*** |
| γleverage | 0.1901 | 2.50** |
1.000
Persistence-
Half-lifeGJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0018 | 2.46** |
α ARCH Response to squared shocks | 0.0450 | 1.57 |
β GARCH Volatility persistence | 0.8600 | 30.76*** |
γ leverage Additional response to negative shocks | 0.1901 | 2.50** |
Persistence:
1.000
Half-life:
-
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