V-Lab
Filana Therapeutics Inc GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
62.09%
increased by 0.17%
1 Week
63.55%
increased by 1.63%
1 Month
68.97%
increased by 7.05%
Analysis last updated: Friday, July 24, 2026 at 09:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 14, 2000 to Jul 24, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 165 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: Positive returns increase volatility 166% more than negative returns
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4316 | 9.72*** |
α ARCH Response to squared shocks | 0.1002 | 12.38*** |
β GARCH Volatility persistence | 0.9268 | 254.28*** |
γ leverage Additional response to negative shocks | -0.0625 | -7.79*** |
Persistence:
0.996
Half-life:
165 days
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