Kuwaiti Dinar GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
4.75%
decreased by 0.09%
1 Week
4.73%
decreased by 0.11%
1 Month
4.66%
decreased by 0.18%
Analysis last updated: Tuesday, July 21, 2026 at 07:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 28, 1991 to Jul 17, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 76 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0004 | 12.17*** |
α ARCH Response to squared shocks | 0.0765 | 10.23*** |
β GARCH Volatility persistence | 0.9043 | 234.59*** |
γ leverage Additional response to negative shocks | 0.0201 | 1.67* |
Persistence:
0.991
Half-life:
76 days
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