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V-Lab

Coil GJR-GARCH Volatility Analysis

Volatility prediction for Monday, July 27th, 2026

1 Day

31.58%

unchanged at 0.00%

1 Week

36.84%

increased by 5.26%

1 Month

46.09%

increased by 14.51%

Analysis last updated: Saturday, July 25, 2026 at 11:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Coil GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Dec 7, 1999 to Jul 24, 2026

Model 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

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.2052
21.86***
α

ARCH

Response to squared shocks

0.1870
15.59***
β

GARCH

Volatility persistence

0.6955
75.36***
γ

leverage

Additional response to negative shocks

0.0263
1.11

Persistence:

0.896

Half-life:

6 days