Skip to main content
V-Lab

T Rowe Price Long Municipal Income ETF GAS-GARCH Student T Volatility Analysis

Volatility prediction for Monday, July 27th, 2026

1 Day

6.96%

increased by 0.64%

1 Week

6.06%

decreased by 0.26%

1 Month

4.89%

decreased by 1.43%

Analysis last updated: Saturday, July 25, 2026 at 02:22 AM UTC

Date Range:

from

to

6M ·

All

graph of T Rowe Price Long Municipal Income ETF GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Nov 20, 2025 to Jul 24, 2026

Model Insight

Volatility shocks decay with a half-life of 2 trading days, meaning a shock loses half its impact after approximately 2 days. Returns follow a Student-t distribution with v = 7.14 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0718
6.59***
α

ARCH

Response to squared shocks

0.1743
2.82***
β

GARCH

Volatility persistence

0.7541
18.78***
ν

DF

Student-t tail thickness

7.1439
0.64

Persistence:

0.754

Half-life:

2 days