V-Lab
GCM Corp Ltd GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
133.10%
increased by 1.18%
1 Week
133.22%
increased by 1.30%
1 Month
133.69%
increased by 1.77%
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 0.996, volatility shocks have a half-life of 179 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 125% more than positive returns
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3351 | 3.16*** |
α ARCH Response to squared shocks | 0.0159 | 10.51*** |
β GARCH Volatility persistence | 0.9703 | 272.41*** |
γ leverage Additional response to negative shocks | 0.0198 | 3.46*** |
Persistence:
0.996
Half-life:
179 days
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