V-Lab
Applied Materials Inc GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
73.71%
decreased by 1.64%
1 Week
73.59%
decreased by 1.76%
1 Month
73.12%
decreased by 2.23%
Analysis last updated: Friday, August 21, 2026 at 09:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 21, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 184 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 116% more than positive returns
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0458 | 12.72*** |
α ARCH Response to squared shocks | 0.0273 | 20.82*** |
β GARCH Volatility persistence | 0.9532 | 805.07*** |
γ leverage Additional response to negative shocks | 0.0315 | 9.80*** |
Persistence:
0.996
Half-life:
184 days
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