Planetel Spa GJR-GARCH Volatility Analysis
Volatility prediction for Friday, July 10th, 2026
1 Day
36.39%
increased by 3.90%
1 Week
35.66%
increased by 3.17%
1 Month
34.45%
increased by 1.96%
Analysis last updated: Friday, July 10, 2026 at 07:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 15, 2021 to Jun 26, 2026Model Insight
Volatility shocks decay with a half-life of 4 trading days, meaning a shock loses half its impact after approximately 4 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7145 | 12.25*** |
α ARCH Response to squared shocks | 0.1647 | 10.32*** |
β GARCH Volatility persistence | 0.6654 | 36.54*** |
γ leverage Additional response to negative shocks | 0.0211 | 0.73 |
Persistence:
0.841
Half-life:
4 days
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