V-Lab
iShares National AMT-Free Muni Bond ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
4.77%
increased by 0.18%
1 Week
4.79%
increased by 0.20%
1 Month
4.86%
increased by 0.27%
Analysis last updated: Friday, July 24, 2026 at 10:37 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 10, 2007 to Jul 24, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 77 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.19 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1310 | 4.60*** |
α ARCH Response to squared shocks | 0.1315 | 53.00*** |
β GARCH Volatility persistence | 0.9910 | 533.09*** |
ν DF Student-t tail thickness | 5.1909 | 15.52*** |
Persistence:
0.991
Half-life:
77 days
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