Abionyx Pharma SA GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
84.41%
decreased by 0.78%
1 Week
85.86%
increased by 0.67%
1 Month
90.14%
increased by 4.95%
Analysis last updated: Tuesday, July 14, 2026 at 08:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 15, 2016 to Jul 3, 2026Model Insight
Volatility shocks decay with a half-life of 16 trading days, meaning a shock loses half its impact after approximately 16 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.7061 | 2.99*** |
α ARCH Response to squared shocks | 0.0378 | 3.18*** |
β GARCH Volatility persistence | 0.9215 | 51.23*** |
γ leverage Additional response to negative shocks | -0.0031 | -0.11 |
Persistence:
0.958
Half-life:
16 days
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