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V-Lab

British Pound GARCH Volatility Analysis

Volatility prediction for Wednesday, July 22nd, 2026

1 Day

5.86%

decreased by 0.06%

1 Week

5.88%

decreased by 0.04%

1 Month

5.97%

increased by 0.05%

Analysis last updated: Tuesday, July 21, 2026 at 07:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of British Pound GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Jul 17, 2026

Model Insight

With persistence 0.995, volatility shocks have a half-life of 133 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

σ

GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0012
16.52***
α

ARCH

Response to squared shocks

0.0304
25.02***
β

GARCH

Volatility persistence

0.9644
758.78***

Persistence:

0.995

Half-life:

133 days