Everforth Inc GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
80.05%
decreased by 1.99%
1 Week
79.76%
decreased by 2.28%
1 Month
78.61%
decreased by 3.43%
Analysis last updated: Friday, July 17, 2026 at 10:51 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 22, 1992 to Jul 17, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 86 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 329% more than positive returns
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1080 | 10.73*** |
α ARCH Response to squared shocks | 0.0166 | 10.35*** |
β GARCH Volatility persistence | 0.9482 | 436.94*** |
γ leverage Additional response to negative shocks | 0.0546 | 11.94*** |
Persistence:
0.992
Half-life:
86 days
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