Coil GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
31.65%
unchanged at 0.00%
1 Week
36.91%
increased by 5.26%
1 Month
46.12%
increased by 14.47%
Analysis last updated: Saturday, July 18, 2026 at 10:38 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 7, 1999 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 6 trading days, meaning a shock loses half its impact after approximately 6 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2129 | 21.84*** |
α ARCH Response to squared shocks | 0.1870 | 15.57*** |
β GARCH Volatility persistence | 0.6948 | 74.94*** |
γ leverage Additional response to negative shocks | 0.0259 | 1.10 |
Persistence:
0.895
Half-life:
6 days
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