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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 15, 2007 to Aug 21, 2026Illiquid 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
| Parameter | Value | t-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
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