V-Lab
Binancecoin to US Dollar 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 Tuesday, August 25th, 2026
1 Day
35.81%
decreased by 2.84%
1 Week
35.82%
decreased by 2.83%
1 Month
35.84%
decreased by 2.81%
Analysis last updated: Tuesday, August 25, 2026 at 06:02 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 20, 2018 to Aug 22, 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.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0007 | 3.67*** |
α ARCH Response to squared shocks | 0.1424 | 14.58*** |
β GARCH Volatility persistence | 0.8565 | 298.00*** |
γ leverage Additional response to negative shocks | 0.0023 | 0.14 |
Persistence:
1.000
Half-life:
1386294 days
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