XTB S A GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 13th, 2026
1 Day
57.44%
decreased by 3.44%
1 Week
54.67%
decreased by 6.21%
1 Month
50.73%
decreased by 10.15%
Analysis last updated: Saturday, July 11, 2026 at 08:11 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 4, 2021 to Jul 10, 2026Model Insight
Volatility shocks decay with a half-life of 3 trading days, meaning a shock loses half its impact after approximately 3 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.8566 | 7.45*** |
α ARCH Response to squared shocks | 0.0800 | 3.87*** |
β GARCH Volatility persistence | 0.7297 | 27.14*** |
γ leverage Additional response to negative shocks | -0.0179 | -0.52 |
Persistence:
0.801
Half-life:
3 days
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