V-Lab
D.L.S.I. GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
23.74%
increased by 0.72%
1 Week
26.44%
increased by 3.42%
1 Month
31.08%
increased by 8.06%
Analysis last updated: Saturday, August 22, 2026 at 08:09 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 26, 2006 to Aug 21, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 51% more than equivalent positive returns.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5703 | 15.50*** |
α ARCH Response to squared shocks | 0.1392 | 10.82*** |
β GARCH Volatility persistence | 0.7058 | 56.86*** |
γ leverage Additional response to negative shocks | 0.0711 | 3.09*** |
Persistence:
0.881
Half-life:
5 days
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