Inversora Juramento Sa AGARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
37.17%
decreased by 0.61%
1 Week
37.30%
decreased by 0.48%
1 Month
37.79%
increased by 0.01%
Analysis last updated: Saturday, July 18, 2026 at 08:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 30, 2011 to Jul 17, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 123 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: positive returns raise volatility more
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0452 | 7.96*** |
α ARCH Response to squared shocks | 0.0352 | 22.45*** |
β GARCH Volatility persistence | 0.9591 | 535.82*** |
γ leverage Additional response to negative shocks | -0.3715 | -3.42*** |
Persistence:
0.994
Half-life:
123 days
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