V-Lab
Ghana Stock Exchange Composite Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
9.87%
decreased by 0.46%
1 Week
10.26%
decreased by 0.07%
1 Month
11.19%
increased by 0.86%
Analysis last updated: Friday, August 7, 2026 at 08:44 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 4, 2011 to Apr 30, 2026Model Insight
Volatility shocks decay with a half-life of 9 trading days, meaning a shock loses half its impact after approximately 9 days.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0452 | 11.69*** |
α ARCH Response to squared shocks | 0.1422 | 11.26*** |
β GARCH Volatility persistence | 0.8022 | 73.13*** |
γ leverage Additional response to negative shocks | -0.0361 | -1.86* |
Persistence:
0.926
Half-life:
9 days
Other Ghana Stock Exchange Composite Index Analyses
Other GJR-GARCH Analyses on Equity Indices