Skip to main content
V-Lab
V-Lab

PIMCO Enhanced Low Duration Active ETF GJR-GARCH Volatility Analysis

Volatility prediction for Tuesday, September 8th, 2026

1 Day

2.11%

decreased by 0.07%

1 Week

2.14%

decreased by 0.04%

1 Month

2.25%

increased by 0.07%

Analysis last updated: Friday, September 4, 2026 at 10:36 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of PIMCO Enhanced Low Duration Active ETF GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 23, 2014 to Sep 4, 2026

Model Insight

With persistence 0.998, volatility shocks have a half-life of 289 trading days (~1.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

σ

GJR-GARCH Model

Tap to view equation

High persistence: persistence 0.998, shock half-life ~289 days
ParamValuet-stat
ωconst0.0003
4.52***
αARCH0.1186
2.22**
βGARCH0.8647
47.12***
γleverage0.0286
0.36

0.998

Persistence

289d

Half-life
σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0003
4.52***
α

ARCH

Response to squared shocks

0.1186
2.22**
β

GARCH

Volatility persistence

0.8647
47.12***
γ

leverage

Additional response to negative shocks

0.0286
0.36

Persistence:

0.998

Half-life:

289 days