V-Lab
Namib Minerals 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 Tuesday, September 22nd, 2026
1 Day
76.18%
1 Week
76.23%
1 Month
76.43%
Analysis last updated: Monday, September 21, 2026 at 09:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 29, 2021 to Sep 18, 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.
GJR-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0150 | 1.51 |
| αARCH | 0.4649 | 0.59 |
| βGARCH | 0.6985 | 4.88*** |
| γleverage | -0.3268 | -0.39 |
1.000
Persistence-
Half-lifeGJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0150 | 1.51 |
α ARCH Response to squared shocks | 0.4649 | 0.59 |
β GARCH Volatility persistence | 0.6985 | 4.88*** |
γ leverage Additional response to negative shocks | -0.3268 | -0.39 |
Persistence:
1.000
Half-life:
-
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