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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 20, 2025 to Jul 24, 2026Model 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
| Parameter | Value | t-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
Other T Rowe Price Long Municipal Income ETF Analyses
Other GAS-GARCH Student T Analyses on ETFs