Moreld AS GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
35.71%
decreased by 0.09%
1 Week
36.28%
increased by 0.48%
1 Month
37.24%
increased by 1.44%
Analysis last updated: Saturday, July 18, 2026 at 11:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 27, 2024 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 4 trading days, meaning a shock loses half its impact after approximately 4 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8359 | 7.38*** |
α ARCH Response to squared shocks | 0.0451 | 2.68*** |
β GARCH Volatility persistence | 0.7884 | 28.85*** |
γ leverage Additional response to negative shocks | 0.0399 | 1.46 |
Persistence:
0.853
Half-life:
4 days
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