V-Lab
Bellini Nautica S P A GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 15th, 2026
1 Day
33.63%
increased by 0.05%
1 Week
39.23%
increased by 5.65%
1 Month
42.23%
increased by 8.65%
Analysis last updated: Wednesday, September 16, 2026 at 08:56 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 15, 2022 to Sep 14, 2026Model Insight
Volatility shocks decay with a half-life of 1 trading day, meaning a shock loses half its impact after approximately 1 day.
σ
GJR-GARCH Model
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Shock decay: Shocks decay with a 1-day half-life
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.1007 | 5.14*** |
| αARCH | 0.3391 | 2.31** |
| βGARCH | 0.2374 | 2.13** |
| γleverage | 0.0101 | 0.04 |
0.582
Persistence1d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.1007 | 5.14*** |
α ARCH Response to squared shocks | 0.3391 | 2.31** |
β GARCH Volatility persistence | 0.2374 | 2.13** |
γ leverage Additional response to negative shocks | 0.0101 | 0.04 |
Persistence:
0.582
Half-life:
1 days
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