V-Lab
iShares Global Clean Energy Index ETF GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
32.82%
increased by 0.08%
1 Week
32.54%
decreased by 0.20%
1 Month
31.68%
decreased by 1.06%
Analysis last updated: Saturday, July 25, 2026 at 09:15 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 3, 2022 to Jul 24, 2026Model Insight
Volatility shocks decay with a half-life of 18 trading days, meaning a shock loses half its impact after approximately 18 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1271 | 8.96*** |
α ARCH Response to squared shocks | 0.0034 | 0.49 |
β GARCH Volatility persistence | 0.9489 | 184.11*** |
γ leverage Additional response to negative shocks | 0.0189 | 1.64 |
Persistence:
0.962
Half-life:
18 days
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