Allurion Technologies Inc GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, July 13th, 2026
1 Day
281.26%
1 Week
281.26%
1 Month
281.27%
Analysis last updated: Saturday, July 11, 2026 at 09:27 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 5, 2021 to Jul 10, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 693147 trading days (~2750.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 112% more than positive returns
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0012 | 4.42*** |
α ARCH Response to squared shocks | 0.0907 | 1.55 |
β GARCH Volatility persistence | 0.8587 | 16.16*** |
γ leverage Additional response to negative shocks | 0.1012 | 2.02** |
Persistence:
1.000
Half-life:
693147 days
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