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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of D.L.S.I. GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Dec 26, 2006 to Aug 21, 2026

Model 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

ParameterValuet-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