V-Lab
AIFU Inc GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
72.74%
decreased by 2.41%
1 Week
72.93%
decreased by 2.22%
1 Month
73.66%
decreased by 1.49%
Analysis last updated: Monday, July 27, 2026 at 09:17 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 31, 2007 to Jul 24, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 84 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 50% more than positive returns
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2290 | 9.92*** |
α ARCH Response to squared shocks | 0.0595 | 14.00*** |
β GARCH Volatility persistence | 0.9174 | 198.70*** |
γ leverage Additional response to negative shocks | 0.0298 | 3.38*** |
Persistence:
0.992
Half-life:
84 days
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