V-Lab
Manila Electric Co GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, September 11th, 2026
1 Day
34.67%
1 Week
36.10%
1 Month
41.33%
Analysis last updated: Friday, September 11, 2026 at 09:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 7, 1995 to Sep 4, 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.
Leverage: Negative returns increase volatility 91% more than positive returns
GJR-GARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.2010 | 6.20*** |
| αARCH | 0.1514 | 5.27*** |
| βGARCH | 0.7797 | 39.09*** |
| γleverage | 0.1380 | 2.40** |
1.000
Persistence-
Half-lifeGJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2010 | 6.20*** |
α ARCH Response to squared shocks | 0.1514 | 5.27*** |
β GARCH Volatility persistence | 0.7797 | 39.09*** |
γ leverage Additional response to negative shocks | 0.1380 | 2.40** |
Persistence:
1.000
Half-life:
-
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