TLT Percentage Price Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
90.92%
increased by 2.50%
1 Week
91.15%
increased by 2.73%
1 Month
91.78%
increased by 3.36%
Analysis last updated: Wednesday, July 15, 2026 at 11:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2004 to Jul 10, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 99% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.0304 | 15.36*** |
α ARCH Response to squared shocks | 0.1793 | 17.06*** |
β GARCH Volatility persistence | 0.8061 | 93.29*** |
γ leverage Additional response to negative shocks | -0.0894 | -6.02*** |
Persistence:
0.941
Half-life:
11 days
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