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%
1 Week
41.00%
1 Month
41.18%
Analysis last updated: Monday, July 27, 2026 at 09:37 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 15, 2007 to Jul 24, 2026Model 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
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-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
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