Apple Inc GJR-GARCH Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
21.23%
decreased by 0.39%
1 Week
21.70%
increased by 0.08%
1 Month
23.46%
increased by 1.84%
Analysis last updated: Friday, October 23, 2026 at 09:43 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 23, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 362 trading days (~1.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 179% more than positive returns
σ
GJR-GARCH Model
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High persistence: persistence 0.998, shock half-life ~362 daysLeverage: Negative returns increase volatility 179% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0436 | 3.61*** |
| αARCH | 0.0310 | 4.08*** |
| βGARCH | 0.9394 | 154.02*** |
| γleverage | 0.0554 | 3.37*** |
0.998
Persistence362d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0436 | 3.61*** |
α ARCH Response to squared shocks | 0.0310 | 4.08*** |
β GARCH Volatility persistence | 0.9394 | 154.02*** |
γ leverage Additional response to negative shocks | 0.0554 | 3.37*** |
Persistence:
0.998
Half-life:
362 days
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