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V-Lab

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 Wednesday, August 5th, 2026

1 Day

97.17%

decreased by 7.76%

1 Week

97.17%

decreased by 7.76%

1 Month

97.18%

decreased by 7.75%

Analysis last updated: Wednesday, August 5, 2026 at 09:23 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of Allurion Technologies Inc GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Feb 5, 2021 to Jul 31, 2026

Model Insight

Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.

Leverage: Negative returns increase volatility 106% more than positive returns

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0012
4.53***
α

ARCH

Response to squared shocks

0.0931
1.61
β

GARCH

Volatility persistence

0.8575
16.54***
γ

leverage

Additional response to negative shocks

0.0988
2.01**

Persistence:

1.000

Half-life:

-