iShares National AMT-Free Muni Bond ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
2.83%
decreased by 0.10%
1 Week
2.90%
decreased by 0.03%
1 Month
3.17%
increased by 0.24%
Analysis last updated: Monday, July 13, 2026 at 09:44 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 10, 2007 to Jul 10, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 76 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 = 5.18 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 | 0.1286 | 4.58*** |
α ARCH Response to squared shocks | 0.1306 | 52.79*** |
β GARCH Volatility persistence | 0.9910 | 527.66*** |
ν DF Student-t tail thickness | 5.1830 | 15.44*** |
Persistence:
0.991
Half-life:
76 days
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