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V-Lab

Israeli Shekel GJR-GARCH Volatility Analysis

Volatility prediction for Monday, July 27th, 2026

1 Day

8.69%

decreased by 0.30%

1 Week

8.65%

decreased by 0.34%

1 Month

8.52%

decreased by 0.47%

Analysis last updated: Sunday, July 26, 2026 at 01:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Israeli Shekel GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Nov 8, 1991 to Jul 24, 2026

Model Insight

This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 36% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0022
23.05***
α

ARCH

Response to squared shocks

0.0717
24.08***
β

GARCH

Volatility persistence

0.9265
571.92***
γ

leverage

Additional response to negative shocks

-0.0189
-4.47***

Persistence:

0.989

Half-life:

61 days