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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

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10Y ·

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graph of BlockFin Holdings Ltd GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 2007 to Jul 17, 2026

Model 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

ParameterValuet-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