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V-Lab

GCM Corp Ltd GJR-GARCH Volatility Analysis

Volatility prediction for Monday, August 24th, 2026

1 Day

117.03%

decreased by 0.71%

1 Week

117.29%

decreased by 0.45%

1 Month

118.27%

increased by 0.53%

Analysis last updated: Saturday, August 22, 2026 at 06:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of GCM Corp Ltd GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Nov 15, 2007 to Aug 21, 2026
Illiquid Asset

Model Insight

With persistence 0.996, volatility shocks have a half-life of 171 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Leverage: Negative returns increase volatility 119% more than positive returns

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.3390
3.21***
α

ARCH

Response to squared shocks

0.0161
10.50***
β

GARCH

Volatility persistence

0.9702
270.18***
γ

leverage

Additional response to negative shocks

0.0192
3.36***

Persistence:

0.996

Half-life:

171 days