V-Lab
Gvs S P A GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
37.97%
decreased by 1.39%
1 Week
40.81%
increased by 1.45%
1 Month
42.21%
increased by 2.85%
Analysis last updated: Saturday, August 22, 2026 at 11:07 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 19, 2020 to Aug 21, 2026Model Insight
Volatility shocks decay with a half-life of 1 trading day, meaning a shock loses half its impact after approximately 1 day.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.3743 | 11.37*** |
α ARCH Response to squared shocks | 0.1728 | 6.35*** |
β GARCH Volatility persistence | 0.3194 | 6.82*** |
γ leverage Additional response to negative shocks | 0.0812 | 1.67* |
Persistence:
0.533
Half-life:
1 days
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