V-Lab
Canare Electric 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 Friday, August 14th, 2026
1 Day
14.24%
decreased by 0.45%
1 Week
15.24%
increased by 0.55%
1 Month
18.71%
increased by 4.02%
Analysis last updated: Friday, August 14, 2026 at 07:32 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 23, 1995 to Aug 10, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 1386294 trading days (~5501.2 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 | 0.0585 | 12.08*** |
α ARCH Response to squared shocks | 0.1277 | 16.49*** |
β GARCH Volatility persistence | 0.8616 | 220.30*** |
γ leverage Additional response to negative shocks | 0.0214 | 1.45 |
Persistence:
1.000
Half-life:
1386294 days
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