V-Lab
Cic Holdings Plc GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
29.12%
decreased by 0.75%
1 Week
31.03%
increased by 1.16%
1 Month
35.50%
increased by 5.63%
Analysis last updated: Sunday, August 23, 2026 at 01:37 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 18, 2008 to Aug 21, 2026Model Insight
Volatility shocks decay with a half-life of 10 trading days, meaning a shock loses half its impact after approximately 10 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4802 | 10.50*** |
α ARCH Response to squared shocks | 0.1245 | 9.38*** |
β GARCH Volatility persistence | 0.8149 | 62.59*** |
γ leverage Additional response to negative shocks | -0.0188 | -1.07 |
Persistence:
0.930
Half-life:
10 days
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