V-Lab
Digital Currency X Technology Inc GJR-GARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
147.50%
decreased by 5.10%
1 Week
149.10%
decreased by 3.50%
1 Month
155.19%
increased by 2.59%
Analysis last updated: Friday, September 11, 2026 at 10:43 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 7, 2021 to Sep 11, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 214 trading days (~0.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: volatility responds almost entirely to negative shocks
σ
GJR-GARCH Model
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High persistence: persistence 0.997, shock half-life ~214 daysLeverage: volatility responds almost entirely to negative shocks
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2211 | 1.45 |
| αARCH | 0.0087 | 0.40 |
| βGARCH | 0.9176 | 47.04*** |
| γleverage | 0.1411 | 2.36** |
0.997
Persistence214d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2211 | 1.45 |
α ARCH Response to squared shocks | 0.0087 | 0.40 |
β GARCH Volatility persistence | 0.9176 | 47.04*** |
γ leverage Additional response to negative shocks | 0.1411 | 2.36** |
Persistence:
0.997
Half-life:
214 days
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