Bridger Aerospace GP HLD 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, July 15th, 2026
1 Day
43.43%
1 Week
43.46%
1 Month
43.58%
Analysis last updated: Tuesday, July 14, 2026 at 09:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 22, 2021 to Jul 10, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 1386294 trading days (~5501.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 60% more than positive returns
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0053 | 3.15*** |
α ARCH Response to squared shocks | 0.0888 | 7.49*** |
β GARCH Volatility persistence | 0.8848 | 91.18*** |
γ leverage Additional response to negative shocks | 0.0528 | 2.27** |
Persistence:
1.000
Half-life:
1386294 days
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