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%
unchanged at 0.00%
1 Week
0.05%
increased by 0.01%
1 Month
0.07%
increased by 0.03%
Analysis last updated: Thursday, June 5, 2025 at 11:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0000 | 10.00 | |
| 0.1458 | 51.99 | |
| 0.8542 | 525.02 | |
| 0.0000 | 0.00 |
Estimation Period:
Jan 24, 2006 to May 30, 2025
Jan 24, 2006 to May 30, 2025
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