V-Lab
Big Digital Energy Inc GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
148.26%
decreased by 3.48%
1 Week
150.96%
decreased by 0.78%
1 Month
161.07%
increased by 9.33%
Analysis last updated: Friday, July 24, 2026 at 09:16 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 22, 2012 to Jul 24, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 180 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 87% more than positive returns
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.9454 | 4.22*** |
α ARCH Response to squared shocks | 0.0527 | 6.21*** |
β GARCH Volatility persistence | 0.9205 | 117.87*** |
γ leverage Additional response to negative shocks | 0.0459 | 2.96*** |
Persistence:
0.996
Half-life:
180 days
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