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V-Lab

First Trust NASDAQ Clean Edge Green Energy Index Fund GJR-GARCH Volatility Analysis

Volatility prediction for Monday, August 24th, 2026

1 Day

39.78%

decreased by 1.31%

1 Week

39.71%

decreased by 1.38%

1 Month

39.43%

decreased by 1.66%

Analysis last updated: Friday, August 21, 2026 at 09:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of First Trust NASDAQ Clean Edge Green Energy Index Fund GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Feb 14, 2007 to Aug 21, 2026

Model Insight

With persistence 0.992, volatility shocks have a half-life of 83 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Leverage: Negative returns increase volatility 121% more than positive returns

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0406
15.02***
α

ARCH

Response to squared shocks

0.0434
12.37***
β

GARCH

Volatility persistence

0.9220
396.57***
γ

leverage

Additional response to negative shocks

0.0526
7.91***

Persistence:

0.992

Half-life:

83 days