V-Lab
Gazprom PAO AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Thursday, June 5th, 2025
1 Day
0.04%
1 Week
0.05%
1 Month
0.10%
Analysis last updated: Tuesday, September 1, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 24, 2006 to Jun 4, 2025Model Insight
Estimated persistence of 1.104 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
AGARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0000 | |
| αARCH | 0.2925 | 17.69*** |
| βGARCH | 0.8118 | 81.02*** |
| γleverage | 0.0000 | 0.00 |
1.104
Persistence-
Half-lifeAGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | |
α ARCH Response to squared shocks | 0.2925 | 17.69*** |
β GARCH Volatility persistence | 0.8118 | 81.02*** |
γ leverage Additional response to negative shocks | 0.0000 | 0.00 |
Persistence:
1.104
Half-life:
-
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