V-Lab
Living REIT PLC GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Thursday, October 1st, 2026
1 Day
21.36%
decreased by 0.53%
1 Week
21.40%
decreased by 0.49%
1 Month
21.56%
decreased by 0.33%
Analysis last updated: Thursday, October 1, 2026 at 10:14 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 8, 2017 to Sep 25, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
σ
GARCH Model
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High persistence: persistence 1.000 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0034 | 1.99** |
| αARCH | 0.0594 | 4.24*** |
| βGARCH | 0.9406 | 75.20*** |
1.000
Persistence-
Half-lifeσ
GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0034 | 1.99** |
α ARCH Response to squared shocks | 0.0594 | 4.24*** |
β GARCH Volatility persistence | 0.9406 | 75.20*** |
Persistence:
1.000
Half-life:
-
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