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V-Lab

iShares Global Clean Energy Index ETF MF2-GARCH Volatility Analysis

Volatility prediction for Monday, July 27th, 2026

1 Day

36.60%

increased by 2.55%

1 Week

36.52%

increased by 2.47%

1 Month

36.81%

increased by 2.76%

Analysis last updated: Saturday, July 25, 2026 at 09:16 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

All

graph of iShares Global Clean Energy Index ETF MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

May 3, 2022 to Jul 24, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 189% more than equivalent positive returns.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

126
α

ARCH

Response to squared shocks

0.0571
4.43***
β

GARCH

Volatility persistence

0.2383
8.13***
γ

leverage

Additional response to negative shocks

0.1078
2.79***
λ₁

tau intercept

Baseline long-term coefficient

0.0756
0.35
λ₂

forecast adj.

Forecast performance sensitivity

0.1790
2.06**
λ₃

tau persistence

Long-term factor persistence

0.8210
4.82***

Persistence:

0.349

Half-life:

1 days