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V-Lab

Jpmorgan Active High YLD ETF GJR-GARCH Volatility Analysis

Volatility prediction for Monday, August 24th, 2026

1 Day

2.36%

decreased by 0.11%

1 Week

2.48%

increased by 0.01%

1 Month

2.84%

increased by 0.37%

Analysis last updated: Saturday, August 22, 2026 at 02:28 AM 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 21, 2026

Model Insight

Volatility shocks decay with a half-life of 29 trading days, meaning a shock loses half its impact after approximately 29 days.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0017
6.12***
α

ARCH

Response to squared shocks

0.0000
0.00
β

GARCH

Volatility persistence

0.8456
43.30***
γ

leverage

Additional response to negative shocks

0.2613
7.39***

Persistence:

0.976

Half-life:

29 days