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V-Lab

Cic Holdings Plc GJR-GARCH Volatility Analysis

Volatility prediction for Monday, August 10th, 2026

1 Day

30.21%

decreased by 0.95%

1 Week

31.95%

increased by 0.79%

1 Month

36.03%

increased by 4.87%

Analysis last updated: Sunday, August 9, 2026 at 01:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Cic Holdings Plc GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jul 18, 2008 to Aug 7, 2026

Model Insight

Volatility shocks decay with a half-life of 9 trading days, meaning a shock loses half its impact after approximately 9 days.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.4861
10.49***
α

ARCH

Response to squared shocks

0.1250
9.37***
β

GARCH

Volatility persistence

0.8138
61.95***
γ

leverage

Additional response to negative shocks

-0.0193
-1.10

Persistence:

0.929

Half-life:

9 days