V-Lab
BDI Baltic Exchange Dry Index GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, October 2nd, 2026
1 Day
35.48%
decreased by 5.83%
1 Week
35.70%
decreased by 5.61%
1 Month
36.56%
decreased by 4.75%
Analysis last updated: Friday, October 2, 2026 at 09:38 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Sep 24, 2026Model 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.
σ
GARCH Model
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High persistence: persistence 1.000 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0308 | 8.72*** |
| αARCH | 0.2997 | 12.05*** |
| βGARCH | 0.7003 | 36.58*** |
1.000
Persistence-
Half-lifeσ
GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0308 | 8.72*** |
α ARCH Response to squared shocks | 0.2997 | 12.05*** |
β GARCH Volatility persistence | 0.7003 | 36.58*** |
Persistence:
1.000
Half-life:
-
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