T Rowe Price Long Municipal Income ETF AGARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
4.05%
decreased by 0.45%
1 Week
4.12%
decreased by 0.38%
1 Month
4.25%
decreased by 0.25%
Analysis last updated: Friday, July 17, 2026 at 10:08 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 20, 2025 to Jul 17, 2026Model Insight
The news-impact curve is shifted (γ = 0.32) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 0.00 |
α ARCH Response to squared shocks | 0.0848 | 6.88*** |
β GARCH Volatility persistence | 0.7987 | 24.50*** |
γ leverage Additional response to negative shocks | 0.3230 | 8.86*** |
Persistence:
0.883
Half-life:
6 days
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