V-Lab
Jason Co Ltd 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 Monday, August 24th, 2026
1 Day
20.79%
1 Week
22.46%
1 Month
28.19%
Analysis last updated: Saturday, August 22, 2026 at 10:08 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 26, 2007 to Aug 21, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Inverse leverage: Positive returns increase volatility 169% more than negative returns
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1439 | 16.74*** |
α ARCH Response to squared shocks | 0.2191 | 14.87*** |
β GARCH Volatility persistence | 0.8498 | 131.24*** |
γ leverage Additional response to negative shocks | -0.1377 | -7.90*** |
Persistence:
1.000
Half-life:
-
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