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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of GCM Corp Ltd EGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Nov 15, 2007 to Jul 24, 2026
Illiquid 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

ParameterValuet-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