V-Lab
Metaplanet Inc GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
149.08%
increased by 38.51%
1 Week
147.89%
increased by 37.32%
1 Month
143.61%
increased by 33.04%
Analysis last updated: Saturday, August 22, 2026 at 10:45 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 17, 2004 to Aug 21, 2026Model Insight
Volatility shocks decay with a half-life of 36 trading days, meaning a shock loses half its impact after approximately 36 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9866 | 14.51*** |
α ARCH Response to squared shocks | 0.1263 | 17.78*** |
β GARCH Volatility persistence | 0.8558 | 169.29*** |
γ leverage Additional response to negative shocks | -0.0027 | -0.19 |
Persistence:
0.981
Half-life:
36 days
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