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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 14, 2007 to Aug 21, 2026Model 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
| Parameter | Value | t-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
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