V-Lab
Gvs S P A GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
35.18%
decreased by 0.05%
1 Week
39.69%
increased by 4.46%
1 Month
41.88%
increased by 6.65%
Analysis last updated: Tuesday, September 8, 2026 at 08:44 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 19, 2020 to Sep 4, 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
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Shock decay: Shocks decay with a 1-day half-life
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.3235 | 2.89*** |
| αARCH | 0.1748 | 1.61 |
| βGARCH | 0.3218 | 1.76* |
| γleverage | 0.0827 | 0.43 |
0.538
Persistence1d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.3235 | 2.89*** |
α ARCH Response to squared shocks | 0.1748 | 1.61 |
β GARCH Volatility persistence | 0.3218 | 1.76* |
γ leverage Additional response to negative shocks | 0.0827 | 0.43 |
Persistence:
0.538
Half-life:
1 days
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