V-Lab
DHL Group GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
24.89%
decreased by 0.75%
1 Week
24.96%
decreased by 0.68%
1 Month
25.21%
decreased by 0.43%
Analysis last updated: Saturday, August 8, 2026 at 08:49 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 17, 2000 to Aug 7, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 238% more than equivalent positive returns.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0666 | 19.27*** |
α ARCH Response to squared shocks | 0.0269 | 9.02*** |
β GARCH Volatility persistence | 0.9170 | 329.14*** |
γ leverage Additional response to negative shocks | 0.0640 | 11.36*** |
Persistence:
0.976
Half-life:
28 days
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