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V-Lab

Inversora Juramento Sa GJR-GARCH Volatility Analysis

Volatility prediction for Monday, July 27th, 2026

1 Day

36.07%

decreased by 0.50%

1 Week

36.16%

decreased by 0.41%

1 Month

36.51%

decreased by 0.06%

Analysis last updated: Saturday, July 25, 2026 at 09:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Inversora Juramento Sa GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

May 30, 2011 to Jul 24, 2026

Model Insight

With persistence 0.993, volatility shocks have a half-life of 106 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Inverse leverage: Positive returns increase volatility 63% more than negative returns

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0472
11.52***
α

ARCH

Response to squared shocks

0.0383
13.11***
β

GARCH

Volatility persistence

0.9625
620.19***
γ

leverage

Additional response to negative shocks

-0.0148
-3.46***

Persistence:

0.993

Half-life:

106 days