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V-Lab

Dor Alon Energy In Israel GJR-GARCH Volatility Analysis

Volatility prediction for Sunday, August 16th, 2026

1 Day

22.34%

decreased by 0.18%

1 Week

22.53%

increased by 0.01%

1 Month

23.22%

increased by 0.70%

Analysis last updated: Friday, August 14, 2026 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Dor Alon Energy In Israel GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Sep 5, 2005 to Aug 13, 2026

Model Insight

This asset exhibits a modest leverage effect: negative returns increase next-day volatility 31% more than equivalent positive returns.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0422
12.65***
α

ARCH

Response to squared shocks

0.0318
10.66***
β

GARCH

Volatility persistence

0.9505
432.26***
γ

leverage

Additional response to negative shocks

0.0100
2.12**

Persistence:

0.987

Half-life:

54 days