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V-Lab

T Rowe Price Long Municipal Income ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility prediction for Wednesday, July 15th, 2026

1 Day

3.30%

decreased by 0.09%

1 Week

3.43%

increased by 0.04%

1 Month

3.50%

increased by 0.11%

Analysis last updated: Tuesday, July 14, 2026 at 09:30 PM UTC

Date Range:

from

to

6M ·

All

graph of T Rowe Price Long Municipal Income ETF S0GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Nov 20, 2025 to Jul 10, 2026

Model Insight

This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 1 trading day.

τ

Zero Slope Spline-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.7592
3.07***
α

ARCH

Response to squared shocks

0.0930
0.90
β

GARCH

Volatility persistence

0.4905
1.01
γi Spline Coefficients
K=3
γ151.3309
1.79*
γ2-94.2696
-2.09**
γ358.0194
2.21**

Persistence:

0.584

Half-life:

1 days