V-Lab
Croatia Zagreb Stock Exchange Crobex Index 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 Friday, August 21st, 2026
1 Day
7.75%
1 Week
8.04%
1 Month
9.11%
Analysis last updated: Friday, August 21, 2026 at 08:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1997 to Jun 3, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Leverage: Negative returns increase volatility 36% more than positive returns
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0091 | 12.16*** |
α ARCH Response to squared shocks | 0.0783 | 18.02*** |
β GARCH Volatility persistence | 0.9076 | 383.61*** |
γ leverage Additional response to negative shocks | 0.0281 | 3.36*** |
Persistence:
1.000
Half-life:
-
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