V-Lab
iShares National AMT-Free Muni Bond ETF GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
5.04%
decreased by 0.17%
1 Week
5.08%
decreased by 0.13%
1 Month
5.26%
increased by 0.05%
Analysis last updated: Friday, July 24, 2026 at 10:36 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 0.996, volatility shocks have a half-life of 187 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 66% more than positive returns
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0013 | 21.53*** |
α ARCH Response to squared shocks | 0.1171 | 19.68*** |
β GARCH Volatility persistence | 0.8407 | 267.83*** |
γ leverage Additional response to negative shocks | 0.0769 | 7.14*** |
Persistence:
0.996
Half-life:
187 days
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