V-Lab
Fic Global Inc GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 11th, 2026
1 Day
73.52%
decreased by 1.61%
1 Week
73.26%
decreased by 1.87%
1 Month
72.29%
decreased by 2.84%
Analysis last updated: Tuesday, August 11, 2026 at 09:14 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2004 to Aug 7, 2026Model Insight
Volatility shocks decay with a half-life of 61 trading days, meaning a shock loses half its impact after approximately 61 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1678 | 7.90*** |
α ARCH Response to squared shocks | 0.0772 | 6.23*** |
β GARCH Volatility persistence | 0.9014 | 104.57*** |
γ leverage Additional response to negative shocks | 0.0200 | 1.29 |
Persistence:
0.989
Half-life:
61 days
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