Deutsche Telekom AG GJR-GARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
30.62%
decreased by 1.24%
1 Week
30.55%
decreased by 1.31%
1 Month
30.29%
decreased by 1.57%
Analysis last updated: Thursday, July 16, 2026 at 06:40 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 15, 1996 to Jul 10, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 28% more than equivalent positive returns.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0435 | 15.49*** |
α ARCH Response to squared shocks | 0.0641 | 22.32*** |
β GARCH Volatility persistence | 0.9129 | 326.60*** |
γ leverage Additional response to negative shocks | 0.0181 | 3.91*** |
Persistence:
0.986
Half-life:
49 days
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