V-Lab
PGIM S&P 500 Max Buffer ETF - December GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
2.36%
decreased by 0.08%
1 Week
2.40%
decreased by 0.04%
1 Month
2.52%
increased by 0.08%
Analysis last updated: Saturday, July 25, 2026 at 02:17 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 2, 2025 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 17 trading days, meaning a shock loses half its impact after approximately 17 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0013 | 3.10*** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.8808 | 37.82*** |
γ leverage Additional response to negative shocks | 0.1587 | 4.12*** |
Persistence:
0.960
Half-life:
17 days
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