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V-Lab

VanEck Uranium and Nuclear ETF GJR-GARCH Volatility Analysis

High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful

Volatility prediction for Tuesday, July 28th, 2026

1 Day

40.96%

decreased by 1.10%

1 Week

41.00%

decreased by 1.06%

1 Month

41.18%

decreased by 0.88%

Analysis last updated: Monday, July 27, 2026 at 09:37 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of VanEck Uranium and Nuclear ETF GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Aug 15, 2007 to Jul 24, 2026

Model Insight

With persistence 1.000, volatility shocks have a half-life of 7413 trading days (~29.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Leverage: Negative returns increase volatility 84% more than positive returns

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0078
9.46***
α

ARCH

Response to squared shocks

0.0484
14.88***
β

GARCH

Volatility persistence

0.9312
405.04***
γ

leverage

Additional response to negative shocks

0.0406
5.79***

Persistence:

1.000

Half-life:

7413 days