V-Lab
Modular Medical Inc GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 22nd, 2026
1 Day
118.14%
decreased by 5.27%
1 Week
118.02%
decreased by 5.39%
1 Month
117.61%
decreased by 5.80%
Analysis last updated: Monday, September 21, 2026 at 09:27 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 10, 2022 to Sep 18, 2026Model Insight
Volatility shocks decay with a half-life of 22 trading days, meaning a shock loses half its impact after approximately 22 days.
σ
GJR-GARCH Model
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Shock decay: Shocks decay with a 22-day half-life
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.6410 | 2.40** |
| αARCH | 0.1027 | 0.97 |
| βGARCH | 0.8769 | 28.58*** |
| γleverage | -0.0207 | -0.12 |
0.969
Persistence22d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.6410 | 2.40** |
α ARCH Response to squared shocks | 0.1027 | 0.97 |
β GARCH Volatility persistence | 0.8769 | 28.58*** |
γ leverage Additional response to negative shocks | -0.0207 | -0.12 |
Persistence:
0.969
Half-life:
22 days
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