V-Lab
Isewan Terminal Service Co 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 Monday, July 27th, 2026
1 Day
23.91%
1 Week
24.21%
1 Month
25.38%
Analysis last updated: Sunday, July 26, 2026 at 02:18 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 1, 1993 to Jul 24, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Leverage: Negative returns increase volatility 57% more than positive returns
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0287 | 14.78*** |
α ARCH Response to squared shocks | 0.0680 | 18.92*** |
β GARCH Volatility persistence | 0.9126 | 395.21*** |
γ leverage Additional response to negative shocks | 0.0390 | 4.49*** |
Persistence:
1.000
Half-life:
-
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