V-Lab
Goldcrest Co Ltd GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
23.40%
decreased by 0.11%
1 Week
23.76%
increased by 0.25%
1 Month
25.12%
increased by 1.61%
Analysis last updated: Sunday, August 23, 2026 at 12:09 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 14, 1998 to Aug 21, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 165 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 24% more than positive returns
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0429 | 12.72*** |
α ARCH Response to squared shocks | 0.0398 | 16.59*** |
β GARCH Volatility persistence | 0.9512 | 701.97*** |
γ leverage Additional response to negative shocks | 0.0096 | 2.07** |
Persistence:
0.996
Half-life:
165 days
Other Goldcrest Co Ltd Analyses
Other GJR-GARCH Analyses on International Equities