Skip to main content
V-Lab

Rheinmetall AG GJR-GARCH Volatility Analysis

Volatility prediction for Tuesday, August 25th, 2026

1 Day

39.71%

increased by 0.12%

1 Week

40.01%

increased by 0.42%

1 Month

41.15%

increased by 1.56%

Analysis last updated: Tuesday, August 25, 2026 at 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of Rheinmetall AG GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Dec 2, 2019 to Aug 21, 2026

Model Insight

With persistence 0.994, volatility shocks have a half-life of 111 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0869
6.02***
α

ARCH

Response to squared shocks

0.0659
4.51***
β

GARCH

Volatility persistence

0.9221
84.29***
γ

leverage

Additional response to negative shocks

0.0115
1.02

Persistence:

0.994

Half-life:

111 days