Israeli Shekel GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
10.30%
increased by 2.08%
1 Week
10.24%
increased by 2.02%
1 Month
10.01%
increased by 1.79%
Analysis last updated: Friday, July 17, 2026 at 07:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 8, 1991 to Jul 17, 2026Model 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
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0022 | 23.04*** |
α ARCH Response to squared shocks | 0.0719 | 24.11*** |
β GARCH Volatility persistence | 0.9264 | 571.87*** |
γ leverage Additional response to negative shocks | -0.0191 | -4.52*** |
Persistence:
0.989
Half-life:
61 days
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