V-Lab
BlockFin Holdings 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 Thursday, August 20th, 2026
1 Day
73.74%
decreased by 2.62%
1 Week
74.09%
decreased by 2.27%
1 Month
75.50%
decreased by 0.86%
Analysis last updated: Thursday, August 20, 2026 at 06:46 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2007 to Jul 17, 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 | 0.1047 | 11.84*** |
α ARCH Response to squared shocks | 0.0935 | 18.89*** |
β GARCH Volatility persistence | 0.8997 | 234.85*** |
γ leverage Additional response to negative shocks | 0.0135 | 1.15 |
Persistence:
1.000
Half-life:
1386294 days
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