OMX Vilnius Index GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Tuesday, June 16th, 2026
1 Day
6.67%
decreased by 0.19%
1 Week
7.02%
increased by 0.16%
1 Month
8.26%
increased by 1.40%
Analysis last updated: Monday, June 15, 2026 at 07:04 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0094 | 15.09 | |
| 0.1018 | 18.92 | |
| 0.8831 | 204.32 | |
| 0.0302 | 3.06 |
Estimation Period:
Jan 3, 2000 to May 29, 2026
Jan 3, 2000 to May 29, 2026
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