Rheinmetall AG GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
75.40%
decreased by 2.16%
1 Week
75.41%
decreased by 2.15%
1 Month
75.49%
decreased by 2.07%
Analysis last updated: Tuesday, July 14, 2026 at 07:16 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 2, 2019 to Jul 10, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 229 trading days (~0.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0739 | 5.35*** |
α ARCH Response to squared shocks | 0.0637 | 4.27*** |
β GARCH Volatility persistence | 0.9262 | 86.20*** |
γ leverage Additional response to negative shocks | 0.0142 | 1.20 |
Persistence:
0.997
Half-life:
229 days
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