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V-Lab

Jpmorgan Active High YLD ETF GJR-GARCH Volatility Analysis

Volatility prediction for Wednesday, August 12th, 2026

1 Day

2.67%

decreased by 0.15%

1 Week

2.77%

decreased by 0.05%

1 Month

3.08%

increased by 0.26%

Analysis last updated: Tuesday, August 11, 2026 at 10:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

All

graph of Jpmorgan Active High YLD ETF GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jun 25, 2025 to Aug 7, 2026

Model Insight

Volatility shocks decay with a half-life of 31 trading days, meaning a shock loses half its impact after approximately 31 days.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0017
6.13***
α

ARCH

Response to squared shocks

0.0000
0.00
β

GARCH

Volatility persistence

0.8454
43.87***
γ

leverage

Additional response to negative shocks

0.2646
7.30***

Persistence:

0.978

Half-life:

31 days