Australian Dollar GJR-GARCH Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
6.06%
decreased by 0.07%
1 Week
6.11%
decreased by 0.02%
1 Month
6.30%
increased by 0.17%
Analysis last updated: Sunday, October 25, 2026 at 01:08 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 23, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 82 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 148% more than positive returns
σ
GJR-GARCH Model
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High persistence: persistence 0.992, shock half-life ~82 daysLeverage: Negative returns increase volatility 148% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0025 | 3.62*** |
| αARCH | 0.0173 | 3.64*** |
| βGARCH | 0.9615 | 194.17*** |
| γleverage | 0.0255 | 2.29** |
0.992
Persistence82d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0025 | 3.62*** |
α ARCH Response to squared shocks | 0.0173 | 3.64*** |
β GARCH Volatility persistence | 0.9615 | 194.17*** |
γ leverage Additional response to negative shocks | 0.0255 | 2.29** |
Persistence:
0.992
Half-life:
82 days
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