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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 Monday, August 24th, 2026

1 Day

40.43%

increased by 1.98%

1 Week

40.48%

increased by 2.03%

1 Month

40.66%

increased by 2.21%

Analysis last updated: Friday, August 21, 2026 at 10:37 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

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 Aug 21, 2026

Model Insight

With persistence 1.000, volatility shocks have a half-life of 11649 trading days (~46.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Leverage: Negative returns increase volatility 86% more than positive returns

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0078
9.43***
α

ARCH

Response to squared shocks

0.0481
14.87***
β

GARCH

Volatility persistence

0.9313
406.86***
γ

leverage

Additional response to negative shocks

0.0412
5.90***

Persistence:

1.000

Half-life:

11649 days