iShares Global Clean Energy Index ETF MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 15th, 2026
1 Day
35.44%
decreased by 3.65%
1 Week
36.12%
decreased by 2.97%
1 Month
36.87%
decreased by 2.22%
Analysis last updated: Wednesday, July 15, 2026 at 09:11 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 3, 2022 to Jul 10, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 192% more than equivalent positive returns.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 126 | |
α ARCH Response to squared shocks | 0.0587 | 4.53*** |
β GARCH Volatility persistence | 0.2239 | 7.79*** |
γ leverage Additional response to negative shocks | 0.1127 | 2.88*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0842 | 0.38 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1922 | 2.13** |
λ₃ tau persistence Long-term factor persistence | 0.8078 | 4.61*** |
Persistence:
0.339
Half-life:
1 days
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