V-Lab
GCM Corp Ltd EGARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
152.09%
increased by 3.93%
1 Week
152.88%
increased by 4.72%
1 Month
156.01%
increased by 7.85%
Analysis last updated: Saturday, July 25, 2026 at 10:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 15, 2007 to Jul 24, 2026Illiquid Asset
Model Insight
With persistence 0.995, volatility shocks have a half-life of 139 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: volatility responds almost entirely to negative shocks
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0277 | 1.70* |
α ARCH Response to squared shocks | 0.0437 | 11.89*** |
β GARCH Volatility persistence | 0.9950 | 349.74*** |
γ leverage Additional response to negative shocks | -0.0402 | -7.37*** |
Persistence:
0.995
Half-life:
139 days
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