V-Lab
TLT Percentage Price Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, August 6th, 2026
1 Day
112.41%
decreased by 9.94%
1 Week
110.46%
decreased by 11.89%
1 Month
104.88%
decreased by 17.47%
Analysis last updated: Thursday, August 6, 2026 at 11:38 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2004 to Jul 31, 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 | 2.0205 | 15.52*** |
α ARCH Response to squared shocks | 0.1782 | 17.20*** |
β GARCH Volatility persistence | 0.8076 | 95.42*** |
γ leverage Additional response to negative shocks | -0.0887 | -6.04*** |
Persistence:
0.941
Half-life:
11 days
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